Financial factor influence on scaling and memory of trading volume in stock market

Wei Li, Fengzhong Wang, Shlomo Havlin, H. Eugene Stanley

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36 Scopus citations

Abstract

We study the daily trading volume volatility of 17 197 stocks in the US stock markets during the period 1989-2008 and analyze the time return intervals τ between volume volatilities above a given threshold q. For different thresholds q, the probability density function Pq(τ) scales with mean interval τ as Pq(τ)=τ-1f(τ/τ), and the tails of the scaling function can be well approximated by a power law f(x)∼x-γ. We also study the relation between the form of the distribution function Pq(τ) and several financial factors: stock lifetime, market capitalization, volume, and trading value. We find a systematic tendency of Pq(τ) associated with these factors, suggesting a multiscaling feature in the volume return intervals. We analyze the conditional probability Pq(τ|τ0) for τ following a certain interval τ0, and find that P q(τ|τ0) depends on τ0 such that immediately following a short (long) return interval a second short (long) return interval tends to occur. We also find indications that there is a long-term correlation in the daily volume volatility. We compare our results to those found earlier for price volatility.

Original languageEnglish
Article number046112
JournalPhysical Review E
Volume84
Issue number4
DOIs
StatePublished - 24 Oct 2011

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