Statistical Properties of Share Volume Traded in Financial Markets

Parameswaran Gopikrishnan; Vasiliki Plerou; Xavier Gabaix; H. Eugene Stanley

doi:10.1103/PhysRevE.62.R4493

paper

Statistical Properties of Share Volume Traded in Financial Markets

arXiv:cond-mat/0008113 · doi:10.1103/PhysRevE.62.R4493

Abstract

We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{Δ t}$ for a given stock in a fixed time interval $Δ t$ . We analyze transaction data for the largest 1000 stocks for the two-year period 1994-95, using a database that records every transaction for all securities in three major US stock markets. We find that the distribution $P (Q_{Δ t})$ displays a power-law decay, and that the time correlations in $Q_{Δ t}$ display long-range persistence. Further, we investigate the relation between $Q_{Δ t}$ and the number of transactions $N_{Δ t}$ in a time interval $Δ t$ , and find that the long-range correlations in $Q_{Δ t}$ are largely due to those of $N_{Δ t}$ . Our results are consistent with the interpretation that the large equal-time correlation previously found between $Q_{Δ t}$ and the absolute value of price change $∣ G_{Δ t} ∣$ (related to volatility) are largely due to $N_{Δ t}$ .

arXiv comment4 pages, two-column format, four figures

Statistical Properties of Share Volume Traded in Financial Markets

Abstract

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