 
Summary: Physica A 299 (2001) 137143
www.elsevier.com/locate/physa
Price uctuations and market activity
P. Gopikrishnana;
, V. Pleroua
, X. Gabaixb
,
L.A.N. Amarala
, H.E. Stanleya
aCenter for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, USA
bDepartment of Economics, Massachusetts Institute of Technology, Cambridge, MA 02142, USA
Abstract
We empirically quantify the relation between trading activitymeasured by the number of
transactions Nand the price change G(t) for a given stock, over a time interval [t; t + t]. We
relate the timedependent standard deviation of price changesvolatilityto two microscopic
quantities: the number of transactions N(t) in t and the variance W2
(t) of the price changes
for all transactions in t. We ÿnd that the longranged volatility correlations are largely due
to those of N. We then argue that the tailexponent of the distribution of N is insu cient to
account for the tailexponent of P{G ¿ x}. Since N and W display only weak interdependency,
