Liquidity and the multiscaling properties of the volume traded on the stock market

Z Eisler, J Kertész
2007 Europhysics letters  
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed
more » ... ersal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.
doi:10.1209/0295-5075/77/28001 fatcat:sneaaz2qzfa2jg5leirwvgdo5y