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Size matters: some stylized facts of the stock market revisited

  • Interdisciplinary Physics
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The European Physical Journal B - Condensed Matter and Complex Systems Aims and scope Submit manuscript

Abstract.

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be calculated. These are, however, non-universal: The persistence grows with larger capitalization and this results in a logarithmically increasing Hurst exponent. A similar trend is displayed by intertrade time intervals. Finally, we demonstrate that the distribution of the intertrade times is better described by a multiscaling ansatz than by simple gap scaling.

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Authors and Affiliations

  1. Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, Hungary

    Z. Eisler & J. Kertész

  2. Laboratory of Computational Engineering, Helsinki University of Technology, Espoo, Finland

    J. Kertész

Authors
  1. Z. Eisler
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  2. J. Kertész
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Correspondence to Z. Eisler.

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Eisler, Z., Kertész, J. Size matters: some stylized facts of the stock market revisited. Eur. Phys. J. B 51, 145–154 (2006). https://doi.org/10.1140/epjb/e2006-00189-6

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  • DOI: https://doi.org/10.1140/epjb/e2006-00189-6

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