The European Physical Journal B

, Volume 68, Issue 1, pp 145–152

Preferred numbers and the distributions of trade sizes and trading volumes in the Chinese stock market

Interdisciplinary Physics

DOI: 10.1140/epjb/e2009-00059-9

Cite this article as:
Mu, GH., Chen, W., Kertész, J. et al. Eur. Phys. J. B (2009) 68: 145. doi:10.1140/epjb/e2009-00059-9

Abstract

The distributions of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individualstocks exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the “q-Gamma” function for fitting the distribution by the Cramér-von Mises criterion. The empirical PDFs of tradingvolumes at different timescales Δt ranging from 1 min to 240 min can be well modeled. The applicability of the q-Gamma functions for multiple trades is restricted to the transaction numbers Δn≤ 8. We find that all the PDFs have power-law tails for large volumes. Using careful estimation of the average tail exponents α of the distributions of trade sizes and trading volumes, we get α> 2, well outside the Lévy regime.

PACS

89.65.Gh Economics; econophysics, financial markets, business and management 89.75.Da Systems obeying scaling laws 89.75.-k Complex systems 

Copyright information

© EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • G.-H. Mu
    • 1
    • 2
    • 3
  • W. Chen
    • 4
  • J. Kertész
    • 3
    • 5
  • W.-X. Zhou
    • 1
    • 2
    • 6
    • 7
    • 8
  1. 1.School of Business, East China University of Science and TechnologyShanghaiP.R. China
  2. 2.School of Science, East China University of Science and TechnologyShanghaiP.R. China
  3. 3.Department of Theoretical PhysicsBudapest University of Technology and EconomicsBudapestHungary
  4. 4.Shenzhen Stock Exchange, 5045 Shennan East Road, 518010ShenzhenP.R. China
  5. 5.Laboratory of Computational Engineering, Helsinki University of TechnologyEspooFinland
  6. 6.Research Center for Econophysics, East China University of Science and TechnologyShanghaiP.R. China
  7. 7.Engineering Research Center of Process Systems Engineering (Ministry of Education), East China University of Science and TechnologyShanghaiP.R. China
  8. 8.Research Center on Fictitious Economics & Data Science, Chinese Academy of SciencesBeijingP.R. China