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Recurrence interval analysis of trading volumes
Recurrence interval analysis trading volumes
2010/10/18
We study the statistical properties of the recurrence intervals $\tau$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20...
Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Econophysics Trading volume Intraday pattern Correlation Multifractality
2010/10/29
We investigate the temporal correlations and multifractal nature of trading volume of 22
liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading
volume exhibits size-de...