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Register a new userFinancial factor influence on scaling and memory of trading volume in stock market
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We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989--2008 and analyze the time return intervals $tau$ between volume volatilities above a given threshold q. For different thresholds q, the probability density function P_q(tau) scales with mean interval <tau> as P_q(tau)=<tau>^{-1}f(tau/<tau>) and the tails of the scaling function can be well approximated by a power-law f(x)~x^{-gamma}. We also study the relation between the form of the distribution function P_q(tau) and several financial factors: stock lifetime, market capitalization, volume, and trading value. We find a systematic tendency of P_q(tau) associated with these factors, suggesting a multi-scaling feature in the volume return intervals. We analyze the conditional probability P_q(tau|tau_0) for $tau$ following a certain interval tau_0, and find that P_q(tau|tau_0) depends on tau_0 such that immediately following a short/long return interval a second short/long return interval tends to occur. We also find indications that there is a long-term correlation in the daily volume volatility. We compare our results to those found earlier for price volatility.
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