IDEAS home Printed from https://ideas.repec.org/p/arx/papers/0911.4258.html
   My bibliography  Save this paper

Statistical Regularities of Equity Market Activity

Author

Listed:
  • Fengzhong Wang
  • Kazuko Yamasaki
  • Shlomo Havlin
  • H. Eugene Stanley

Abstract

Equity 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.

Suggested Citation

  • Fengzhong Wang & Kazuko Yamasaki & Shlomo Havlin & H. Eugene Stanley, 2009. "Statistical Regularities of Equity Market Activity," Papers 0911.4258, arXiv.org.
  • Handle: RePEc:arx:papers:0911.4258
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/0911.4258
    File Function: Latest version
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0911.4258. 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). General contact details of provider: http://arxiv.org/ .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.