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Long-term correlations and multifractal analysis of trading volumes for Chinese stocks


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  • Guo-Hua Mu
  • Wei Chen
  • J\'anos Kert\'esz
  • Wei-Xing Zhou
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    We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in the trading volume has negligible impact on the long memory and multifractality.

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    Bibliographic Info

    Paper provided by in its series Papers with number 0904.1042.

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    Date of creation: Apr 2009
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    Publication status: Published in Physics Procedia,Volume 3, Issue 5, August 2010, Pages 1631-1640
    Handle: RePEc:arx:papers:0904.1042

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