Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks
arXiv:physics/0510058 · doi:10.1103/PhysRevE.73.046109
Abstract
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The non-trivial (i.e., neither 0.5 nor 1) value of alpha may have different origins and provides information about the microscopic dynamics. We present a set of recently discovered stylized facts, and then show their connection to such behavior. The functional form alpha(dt) originates from two aspects of the dynamics: Stocks of larger companies both tend to be traded in larger packages, and also display stronger correlations of traded value.
8 pages, 7 figures, 1 table, accepted to Phys. Rev. E
References in corpus (6)
- Common Scaling Patterns in Intertrade Times of U. S. Stocks
- Separating internal and external dynamics of complex systems
- Random walks on complex networks with inhomogeneous impact
- Multiscaling and non-universality in fluctuations of driven complex systems
- On the distribution of high-frequency stock market traded volume: a dynamical scenario
- Large price changes on small scales
Cited by in corpus (28)
- Cross-correlations between volume change and price change
- Multifractal analysis of financial markets
- Fluctuation scaling in complex systems: Taylor's law and beyond
- Transport on Complex Networks: Flow, Jamming and Optimization
- Size matters: some stylized facts of the stock market revisited
- Communication activity in a social network: relation between long-term correlations and inter-event clustering
- Indication of multiscaling in the volatility return intervals of stock markets
- Quantitative law describing market dynamics before and after interest-rate change
- Liquidity and the multiscaling properties of the volume traded on the stock market
- Multifactor Analysis of Multiscaling in Volatility Return Intervals
- Association between COVID-19 cases and international equity indices
- Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market
- Preferential Behaviour and Scaling in Diffusive Dynamics on Networks
- Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
- The dynamics of traded value revisited
- Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks
- Communication activity in social networks: growth and correlations
- Fluctuations and Pseudo Long Range Dependence in Network Flows: A Non-Stationary Poisson Process Model
- Temporal Taylor's scaling of facial electromyography and electrodermal activity in the course of emotional stimulation
- Why do Hurst exponents of traded value increase as the logarithm of company size?
- Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix
- Dual-induced multifractality in online viewing activity
- Taylor's Law of temporal fluctuation scaling in stock illiquidity
- Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
- Endogenous and exogenous dynamics of pressure fluctuations in an impinging entrained-flow gasifier
- Partial correlation analysis: Applications for financial markets
- Beehive scale-free emergent dynamics
- Random matrices applications to soft spectra