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    Self-similarity and non-Markovian behavior in traded stock volumes

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    Author
    Brown, Frank R., Jr.; Pravica, David; Bier, Martin, 1959-
    Abstract
    The volume traded daily for 17 stocks is followed over a period of about half a century. We look at the volume of stocks traded in a certain time interval (day, week, month) and analyze how long that traded volume keeps monotonically increasing or decreasing. On all three times scales we find that the sequence of traded volumes behaves neither like a sequence of independent and identically distributed variables, nor like a Markov sequence. A compressed exponential survival function with the same parameters at all timescales is firmly established. A day with an increase (decrease) of traded volume is most likely followed by a day with a decrease (increase) of traded volume. We show how the apparent self-similarity results because the small day-to-day anticorrelation carries over when larger time intervals are considered. The observed small anticorrelation can be explained as a consequence of market forces and trader reactions.
    URI
    http://hdl.handle.net/10342/8196
    Date
    2015
    Citation:
    APA:
    Brown, Frank R., Jr., & Pravica, David, & Bier, Martin, 1959-. (January 2015). Self-similarity and non-Markovian behavior in traded stock volumes. , (), - . Retrieved from http://hdl.handle.net/10342/8196

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    MLA:
    Brown, Frank R., Jr., and Pravica, David, and Bier, Martin, 1959-. "Self-similarity and non-Markovian behavior in traded stock volumes". . . (), January 2015. September 27, 2023. http://hdl.handle.net/10342/8196.
    Chicago:
    Brown, Frank R., Jr. and Pravica, David and Bier, Martin, 1959-, "Self-similarity and non-Markovian behavior in traded stock volumes," , no. (January 2015), http://hdl.handle.net/10342/8196 (accessed September 27, 2023).
    AMA:
    Brown, Frank R., Jr., Pravica, David, Bier, Martin, 1959-. Self-similarity and non-Markovian behavior in traded stock volumes. . January 2015; (): . http://hdl.handle.net/10342/8196. Accessed September 27, 2023.
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