Size matters: some stylized facts of the market revisited Export

@misc{citeulike:307498, abstract = {We reanalyze high resolution data from the New York Stock Exchange and find a monotonous (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be calculated. These are, however, non-universal: The persistence increases with larger capitalization and this results in a logarithmically increasing Hurst exponent. A similar trend is displayed by intertrade time intervals. Finally, we demonstrate that the distribution of the intertrade times is better described by a multiscaling ansatz than by simple gap scaling.}, archivePrefix = {arXiv}, author = {Eisler, Zoltan and Kertesz, Janos}, citeulike-article-id = {307498}, citeulike-linkout-0 = {http://arxiv.org/abs/physics/0508156}, citeulike-linkout-1 = {http://arxiv.org/pdf/physics/0508156}, day = {29}, eprint = {physics/0508156}, keywords = {financial-networks, markets}, month = {Aug}, posted-at = {2005-08-30 20:12:58}, priority = {2}, title = {Size matters: some stylized facts of the market revisited}, url = {http://arxiv.org/abs/physics/0508156}, year = {2005} }

TY - ELEC ID - citeulike:307498 L3 - citeulike-article-id:307498 N2 - We reanalyze high resolution data from the New York Stock Exchange and find a monotonous (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be calculated. These are, however, non-universal: The persistence increases with larger capitalization and this results in a logarithmically increasing Hurst exponent. A similar trend is displayed by intertrade time intervals. Finally, we demonstrate that the distribution of the intertrade times is better described by a multiscaling ansatz than by simple gap scaling. TI - Size matters: some stylized facts of the market revisited KW - financial-networks KW - markets AU - Eisler, Zoltan AU - Kertesz, Janos PY - 2005/Aug/29/ UR - http://arxiv.org/abs/physics/0508156 ER -