Long-term correlations and multifractality in trading volumes for Chinese stocks

Guo Hua Mu, Wei Xing Zhou*, Wei Chen, Janos Kertesz

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

15 Citations (Scopus)

Abstract

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 non-universal long memory exhibits size-dependence on the trading volume, while the multifractal nature is independent of the trading volume. 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. We also find that both the long memory and probability distribution of trading volume have important influence on the multifractal nature.

Original languageEnglish
Title of host publicationINTERNATIONAL CONFERENCE ON COMPLEXITY AND INTERDISCIPLINARY SCIENCES: 3RD CHINA-EUROPE SUMMER SCHOOL ON COMPLEXITY SCIENCES
Pages1631-1640
Number of pages10
DOIs
Publication statusPublished - 2010
MoE publication typeA4 Article in a conference publication

Publication series

NamePhysics Procedia
Number5
Volume3
ISSN (Print)1875-3892

Keywords

  • Correlation
  • Econophysics
  • Intraday pattern
  • Multifractality
  • Trading volume

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