Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
AbstractWe 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 InfoPaper provided by arXiv.org in its series Papers with number 0904.1042.
Date of creation: Apr 2009
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Publication status: Published in Physics Procedia,Volume 3, Issue 5, August 2010, Pages 1631-1640
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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