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Power law cross-correlations between price change and volume change of Indian stocks

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  • Hasan, Rashid
  • Mohammed Salim, M.

Abstract

We study multifractal long-range correlations and cross-correlations of daily price change and volume change of 50 stocks that comprise Nifty index of National Stock Exchange, Mumbai, using MF-DFA and MF-DCCA methods. We find that the time series of price change are uncorrelated, whereas anti-persistent long-range multifractal correlations are found in volume change series. We also find antipersistent long-range multifractal cross-correlations between the time series of price change and volume change. As multifractality is a signature of complexity, we estimate complexity parameters of the time series of price change, volume change, and cross-correlated price–volume change by fitting the fourth-degree polynomials to their multifractal spectra. Our results indicate that the time series of price change display high complexity, whereas the time series of volume change and cross-correlated price–volume change display low complexity.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:phsmap:v:473:y:2017:i:c:p:620-631
    DOI: 10.1016/j.physa.2017.01.002
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