IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0008113.html
   My bibliography  Save this paper

Statistical Properties of Share Volume Traded in Financial Markets

Author

Listed:
  • Parameswaran Gopikrishnan
  • Vasiliki Plerou
  • Xavier Gabaix
  • H. Eugene Stanley

Abstract

We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval $\Delta t$. We analyze transaction data for the largest 1000 stocks for the two-year period 1994-95, using a database that records every transaction for all securities in three major US stock markets. We find that the distribution $P(Q_{\Delta t})$ displays a power-law decay, and that the time correlations in $Q_{\Delta t}$ display long-range persistence. Further, we investigate the relation between $Q_{\Delta t}$ and the number of transactions $N_{\Delta t}$ in a time interval $\Delta t$, and find that the long-range correlations in $Q_{\Delta t}$ are largely due to those of $N_{\Delta t}$. Our results are consistent with the interpretation that the large equal-time correlation previously found between $Q_{\Delta t}$ and the absolute value of price change $| G_{\Delta t} |$ (related to volatility) are largely due to $N_{\Delta t}$.

Suggested Citation

  • Parameswaran Gopikrishnan & Vasiliki Plerou & Xavier Gabaix & H. Eugene Stanley, 2000. "Statistical Properties of Share Volume Traded in Financial Markets," Papers cond-mat/0008113, arXiv.org.
  • Handle: RePEc:arx:papers:cond-mat/0008113
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0008113
    File Function: Latest version
    Download Restriction: no

    More about this item

    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:cond-mat/0008113. 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.