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Physica A 299 (2001) 137143 www.elsevier.com/locate/physa
 

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 activity--measured by the number of
transactions N--and the price change G(t) for a given stock, over a time interval [t; t + t]. We
relate the time-dependent standard deviation of price changes--volatility--to 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 nd 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 insu cient to
account for the tail-exponent of P{G x}. Since N and W display only weak inter-dependency,

  

Source: Amaral, Luis A.N. - Department of Chemical and Biological Engineering, Northwestern University
Stanley, H. Eugene - Department of Physics, Boston University

 

Collections: Biology and Medicine; Computer Technologies and Information Sciences; Materials Science; Physics