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Price fluctuations and Market Activity

  • P. Gopikrishnan
  • V. Plerou
  • X. Gabaix
  • L. A. N. Amaral
  • H. E. Stanley
Conference paper

Abstract

We empirically quantify the relation between trading activity — measured by the number of transactions N — and the price change G(t) for a given stock, over a time interval [t, t + Δt]. We relate the time-dependent standard deviation of price changes—volatility—to two microscopic quantities: the number of transactions N(t) in Δt and the variance W 2(t) of the price changes for all transactions in Δt. We find that the long-ranged volatility correlations are largely due to those of N. We then argue that the tail-exponent of the distribution of N is insufficient to account for the tail-exponent of P{G > x}. Our results suggest that the fat tails of the distribution P{G > x} arises from W, which has a power-law distribution with an exponent consistent with that of G.

Keywords

Conditional Distribution Price Change Trading Activity Detrended Fluctuation Analysis Local Volatility 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Japan 2002

Authors and Affiliations

  • P. Gopikrishnan
    • 1
  • V. Plerou
    • 1
  • X. Gabaix
    • 2
  • L. A. N. Amaral
    • 1
  • H. E. Stanley
    • 1
  1. 1.Center for Polymer Studies and Department of PhysicsBoston UniversityBostonUSA
  2. 2.Department of EconomicsMassachusetts Institute of TechnologyCambridgeUSA

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