Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
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.
|Date of creation:||Apr 2009|
|Date of revision:|
|Publication status:||Published in Physics Procedia,Volume 3, Issue 5, August 2010, Pages 1631-1640|
|Contact details of provider:|| Web page: http://arxiv.org/|
When requesting a correction, please mention this item's handle: RePEc:arx:papers:0904.1042. See general 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 references are entirely missing, you can add them using this form.