• Find People
  • Campus Map
  • PiratePort
  • A-Z
    • About
    • Submit
    • Browse
    • Login
    View Item 
    •   ScholarShip Home
    • Other Campus Research
    • Open Access
    • View Item
    •   ScholarShip Home
    • Other Campus Research
    • Open Access
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of The ScholarShipCommunities & CollectionsDateAuthorsTitlesSubjectsTypeDate SubmittedThis CollectionDateAuthorsTitlesSubjectsTypeDate Submitted

    My Account

    Login

    Statistics

    View Google Analytics Statistics

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

    Thumbnail
    View/ Open
    Brown2015_Article_Self-similarityAndNon-Markovia.pdf (1.117Mb)

    Show full item record
    
    Author
    Brown, Frank R.; Pravica, David; Bier, Martin
    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., & Pravica, David, & Bier, Martin. (January 2015). Self-similarity and non-Markovian behavior in traded stock volumes. The European Physical Journal B volume, (88:11), p.. Retrieved from http://hdl.handle.net/10342/8196

    Display/Hide MLA, Chicago and APA citation formats.

    MLA:
    Brown, Frank R., and Pravica, David, and Bier, Martin. "Self-similarity and non-Markovian behavior in traded stock volumes". The European Physical Journal B volume. 88:11. (.), January 2015. March 03, 2021. http://hdl.handle.net/10342/8196.
    Chicago:
    Brown, Frank R. and Pravica, David and Bier, Martin, "Self-similarity and non-Markovian behavior in traded stock volumes," The European Physical Journal B volume 88, no. 11 (January 2015), http://hdl.handle.net/10342/8196 (accessed March 03, 2021).
    AMA:
    Brown, Frank R., Pravica, David, Bier, Martin. Self-similarity and non-Markovian behavior in traded stock volumes. The European Physical Journal B volume. January 2015; 88(11) . http://hdl.handle.net/10342/8196. Accessed March 03, 2021.
    Collections
    • Open Access

    xmlui.ArtifactBrowser.ItemViewer.elsevier_entitlement

    East Carolina University has created ScholarShip, a digital archive for the scholarly output of the ECU community.

    • About
    • Contact Us
    • Send Feedback