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arXiv · 1106.1415

Financial factor influence on scaling and memory of trading volume in stock market

Wei Li·Fengzhong Wang·Shlomo Havlin·H. Eugene Stanley
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Abstract

We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989--2008 and analyze the time return intervals $τ$ between volume volatilities above a given threshold q. For different thresholds q, the probability density function P_q(τ) scales with mean interval <τ> as P_q(τ)=<τ>^{-1}f(τ/<τ>) and the tails of the scaling function can be well approximated by a power-law f(x)~x^{-γ}. We also study the relation between the form of the distribution function P_q(τ) and several financial factors: stock lifetime, market capitalization, volume, and trading value. We find a systematic tendency of P_q(τ) associated with these factors, suggesting a multi-scaling feature in the volume return intervals. We analyze the conditional probability P_q(τ|τ_0) for $τ$ following a certain interval τ_0, and find that P_q(τ|τ_0) depends on τ_0 such that immediately following a short/long return interval a second short/long return interval tends to occur. We also find indications that there is a long-term correlation in the daily volume volatility. We compare our results to those found earlier for price volatility.

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Wei Li, Fengzhong Wang, Shlomo Havlin, H. Eugene Stanley. 2011-06-07. Financial factor influence on scaling and memory of trading volume in stock market. https://doi.org/10.1103/physreve.84.046112

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