Size matters: some stylized facts of the stock market revisited

  • Z. EislerEmail author
  • J. Kertész
Interdisciplinary Physics


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.


89.75.-k Complex systems 89.75.Da Systems obeying scaling laws 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion 89.65.Gh Economics; econophysics, financial markets, business and management 


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© EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

Authors and Affiliations

  1. 1.Department of Theoretical PhysicsBudapest University of Technology and EconomicsBudapestHungary
  2. 2.Laboratory of Computational Engineering, Helsinki University of TechnologyEspooFinland

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