6533b833fe1ef96bd129c3a5
RESEARCH PRODUCT
Dynamics of the Number of Trades of Financial Securities
Rosario N. MantegnaFabrizio LilloGiovanni Bonannosubject
Statistics and ProbabilityPhysics::Physics and SocietyStatistical Finance (q-fin.ST)LogarithmStatistical Mechanics (cond-mat.stat-mech)Spectral densityFOS: Physical sciencesQuantitative Finance - Statistical FinanceCondensed Matter PhysicsStock priceFOS: Economics and businessStock exchangeComputer Science::Computational Engineering Finance and ScienceEconometricsStock (geology)Condensed Matter - Statistical MechanicsMathematicsdescription
We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-law behavior. We confirm the $1/f^2$ behavior for the spectral density of the logarithm of stock price whereas we detect a $1/f$-like behavior for the spectral density of the daily number of trades.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1999-12-01 |