Statistical Regularities of Equity Market Activity
AbstractEquity activity is an essential topic for financial market studies. To explore its statistical regularities, we comprehensively examine the trading value, a measure of the equity activity, of the 3314 most-traded stocks in the U.S. equity market and find that (i) the trading values follow a log-normal distribution; (ii) the standard deviation of the growth rate of the trading value obeys a power-law with the initial trading value, and the power-law exponent beta=0.14. Remarkably, both features hold for a wide range of sampling intervals, from 5 minutes to 20 trading days. Further, we show that all the 3314 stocks have long-term correlations, and their Hurst exponents H follow a normal distribution. Furthermore, we find that the Hurst exponent depends on the size of the company. We also show that the relation between the scaling in the growth rate and the long-term correlation is consistent with beta=1-H, similar to that found recently on human interaction activity by Rybski and collaborators.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0911.4258.
Date of creation: Nov 2009
Date of revision:
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.