Self-similarity and non-Markovian behavior in traded stock volumes

ECU Author/Contributor (non-ECU co-authors, if there are any, appear on document)

Frank R.,Pravica,David,Bier,Martin Brown (Creator)

Institution

East Carolina University (ECU )

Web Site: http://www.ecu.edu/lib/

Abstract: The volume traded daily for 17 stocks is followed over a period of about half a century. We look atthe volume of stocks traded in a certain time interval (day, week, month) and analyze how long that tradedvolume keeps monotonically increasing or decreasing. On all three times scales we find that the sequenceof traded volumes behaves neither like a sequence of independent and identically distributed variables,nor like a Markov sequence. A compressed exponential survival function with the same parameters at alltimescales is firmly established. A day with an increase (decrease) of traded volume is most likely followedby a day with a decrease (increase) of traded volume. We show how the apparent self-similarity resultsbecause the small day-to-day anticorrelation carries over when larger time intervals are considered. Theobserved small anticorrelation can be explained as a consequence of market forces and trader reactions.

Additional Information

Publication

Other

Language: English

Date: 2015

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