Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 76, Issue 4, 2007, Pages

  Plerou, Vasiliki ^a   Stanley, H Eugene ^a  

^a Boston University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

DATA REDUCTION; DATABASE SYSTEMS; MARKETING; MICROSTRUCTURE; SCALING LAWS;

SCALE INVARIANT DISTRIBUTIONS; SHARE VOLUMES; STATISTICAL PROPERTIES; TRADE SIZES;

FINANCIAL DATA PROCESSING;

EID: 35248884460     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.76.046109     Document Type: Article

References (43)

1. Practical Fruits of Econophysics: Proceedings of The Third Nikkei Econophysics Symposium, edited by, H. Takayasu, (Springer, New York, 2006).
2. The Science of Disasters, edited by, A. Bunde, (Springer, Berlin, 2002).
3. E. Derman, My Life as a Quant: Reflections on Physics and Finance (Wiley, New York, 2004).
4. H. E. Stanley and V. Plerou, Quant. Finance ZZZZZZ 1469-7688 1, 563 (2001).
5. L. Laloux, P. Cizeau, J. -P. Bouchard and M. Potters, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.83.1467 83, 1467 (1999).
6. V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. Nunes Amaral, and H. E. Stanley, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.83.1471 83, 1471 (1999);
7. V. Plerou, P. Gopikrishnan, B. Rosenow, Luis A. Nunes Amaral, T. Guhr, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.65.066126 65, 066126 (2002).
8. M. Loretan and P. C. B. Phillips, J. Empirical Finance ZZZZZZ 0927-5398 1, 211 (1994).
9. T. Lux, Appl. Financ. Econ. ZZZZZZ 0960-3107 6, 463 (1996).
10. P. Gopikrishnan, V. Plerou, L. A. Nunes Amaral, M. Meyer, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.60.5305 60, 5305 (1999).
11. P. Gopikrishnan, M. Meyer, L. A. N. Amaral and H. E. Stanley, Eur. Phys. J. B EPJBFY 1434-6028 10.1007/s100510050292 3, 139 (1998);
12. V. Plerou, P. Gopikrishnan, L. A. Nunes Amaral, M. Meyer, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.60.6519 60, 6519 (1999).
13. J. A. Skjeltorp, Physica A PHYADX 0378-4371 283, 486 (2001).
14. P. K. Clark, Econometrica ECMTA7 0012-9682 10.2307/1913889 41, 135 (1973).
15. B. B. Mandelbrot and H. Taylor, Oper. Res. OPREAI 0030-364X 15, 1057 (1967).
16. T. W. Epps and M. L. Epps, Econometrica ECMTA7 0012-9682 44, 305 (1976).
17. G. Tauchen and M. Pitts, Econometrica ECMTA7 0012-9682 57, 485 (1983).
18. J. Karpoff, J. Financ. Quant. Anal. JFQAAC 0022-1090 22, 109 (1987).
19. J. Stock, J. Am. Stat. Assoc. JSTNAL 0162-1459 83, 77 (1988).
20. C. Jones, Rev. Financ. Stud. ZZZZZZ 0893-9454 7, 631 (1994);
21. A. R. Gallant, Rev. Financ. Stud. ZZZZZZ 0893-9454 5, 199 (1992).
22. V. Plerou, P. Gopikrishnan, L. A. Nunes Amaral, X. Gabaix, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.62.R3023 62, R3023 (2000).
23. P. Gopikrishnan, V. Plerou, X. Gabaix, and H. E. Stanley, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.62.R4493 62, R4493 (2000).
24. C. Hopman (unpublished).
25. X. Gabaix, P. Gopikrishnan, V. Plerou and H. E. Stanley, Quart. J. Econom. ZZZZZZ 0033-5533 121, 461 (2006).
26. S. Maslov and M. Mills, Physica A PHYADX 0378-4371 10.1016/S0378-4371(01) 00301-6 299, 234 (2001).
27. V. Plerou, P. Gopikrishnan, X. Gabaix and H. E. Stanley, Quant. Finance ZZZZZZ 1469-7688 4, C11 (2004);
28. J. D. Farmer and F. Lillo, Quant. Finance ZZZZZZ 1469-7688 4, C7 (2004).
29. Z. Eisler and J. Kertesz, Eur. Phys. J. B EPJBFY 1434-6028 10.1140/epjb/e2006-00189-6 51, 145 (2006);
30. Z. Eisler and J. Kertesz, Phys. Rev. E PLEEE8 1063-651X 10.1103/PhysRevE.73.046109 73, 046109 (2006);
31. and (unpublished).
32. B. M. Hill, Ann. Stat. ASTSC7 0090-5364 3, 1163 (1975).
33. M. Meerschaert and H. Scheffler, J. Stat. Plan. Infer. JSPIDN 0378-3758 71, 19 (1998);
34. see also M. Herrick, Water Resour. Res. WRERAQ 0043-1397 38, 9 (2002).
35. The Trades and Quotes Database (New York Stock Exchange, New York, 1994-1995) (CD-ROM).
36. Tick data for stocks traded in the London Stock Exchange can be obtained at their website, http://www.londonstockexchange.com/en-gb/products/ informationproducts/historic/tickbest.htm
37. Data provided by the Center for Research in Security Prices can be obtained at http://www.crsp.com
38. G. Zumbach, Quant. Finance ZZZZZZ 1469-7688 4, 441 (2004).
39. X. Gabaix, P. Gopikrishnan, V. Plerou and H. E. Stanley, Nature (London) NATUAS 0028-0836 10.1038/nature01624 423, 267 (2003).
40. R. N. Mantegna and H. E. Stanley, Phys. Rev. Lett. PRLTAO 0031-9007 10.1103/PhysRevLett.73.2946 73, 2946 (1994).
41. H. E. Stanley, Rev. Mod. Phys. RMPHAT 0034-6861 10.1103/RevModPhys.71. S358 71, S358 (1999).
42. J. McCulloch, J. Bus. Econ. Stat. ZZZZZZ 0735-0015 15, 74 (1997).
43. More information about SIC codes can be found at http://www.osha.gov/pls/ imis/sic-manual.html