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Fluctuations of trading volume in a stock market

Author

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  • Hong, Byoung Hee
  • Lee, Kyoung Eun
  • Hwang, Jun Kyung
  • Lee, Jae Woo

Abstract

We consider the probability distribution function of the trading volume and the volume changes in the Korean stock market. The probability distribution function of the trading volume shows double peaks and follows a power law, P(V/〈V〉)∼(V/〈V〉)−α at the tail part of the distribution with α=4.15(4) for the KOSPI (Korea composite Stock Price Index) and α=4.22(2) for the KOSDAQ (Korea Securities Dealers Automated Quotations), where V is the trading volume and 〈V〉 is the monthly average value of the trading volume. The second peaks originate from the increasing trends of the average volume. The probability distribution function of the volume changes also follows a power law, P(Vr)∼Vr−β, where Vr=V(t)−V(t−T) and T is a time lag. The exponents β depend on the time lag T. We observe that the exponents β for the KOSDAQ are larger than those for the KOSPI.

Suggested Citation

  • Hong, Byoung Hee & Lee, Kyoung Eun & Hwang, Jun Kyung & Lee, Jae Woo, 2009. "Fluctuations of trading volume in a stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 863-868.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:6:p:863-868
    DOI: 10.1016/j.physa.2008.11.029
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    Cited by:

    1. Hasan, Rashid & Mohammed Salim, M., 2017. "Power law cross-correlations between price change and volume change of Indian stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 620-631.
    2. Nobi, Ashadun & Maeng, Seong Eun & Ha, Gyeong Gyun & Lee, Jae Woo, 2014. "Effects of global financial crisis on network structure in a local stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 135-143.
    3. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.

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