Statistical properties of trading volume of Chinese stocks

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 12, 2009, Pages 2427-2434

  Qiu, T ^a   Zhong, L X ^b   Chen, G ^a   Wu, X R ^a  

^a NANCHANG HANGKONG UNIVERSITY   (China)

^b HANGZHOU DIANZI UNIVERSITY   (China)

Author keywords

Econophysics; Stock markets; Trading volume

Indexed keywords

AUTOCORRELATION; EXPONENTIAL FUNCTIONS; FINANCIAL MARKETS;

AUTOCORRELATION FUNCTIONS; CUMULATIVE DISTRIBUTION; DETRENDED FLUCTUATION ANALYSIS; ECONOPHYSICSS; LONG RANGE CORRELATIONS; STATISTICAL PROPERTIES; STRETCHED EXPONENTIAL FUNCTIONS; TRADING VOLUMES;

COMMERCE;

EID: 63749106437     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.02.038     Document Type: Article

References (49)

1. Mantegna R.N., and Stanley H.E. Nature 376 (1995) 46
2. Liu Y., et al. Phys. Rev. E 60 (1999) 1390
3. Gopikrishnan P., et al. Phys. Rev. E 62 (2000) 4493
4. Plerou V., and Stanley H.E. Phys. Rev. E 76 (2007) 046109
5. Plerou V., Gopikrishnan P., and Stanley H.E. Phys. Rev. E 71 (2005) 046131
6. Gu G.F., Chen W., and Zhou W.X. Eur. Phys. J. B 57 (2007) 81
7. Daniels M.G., et al. Phys. Rev. Lett. 90 (2003) 108102
8. Lillo F., Farmer J.D., and Mantegna R.N. Nature 421 (2003) 129
9. Smith E., et al. Quant. Finance 3 (2003) 481
10. Plerou V., et al. Phys. Rev. E 66 (2002) 027104
11. Farmer J.D., et al. Quant. Finance 4 (2004) 383
12. Plerou V., and Stanley H.E. Phys. Rev. E 77 (2008) 037101
13. Plerou V., et al. Quant. Finance 1 (2001) 262
14. Gopikrishnana P., Pleroua V., and Gabaixb X. Physica A 299 (2001) 137
15. Clark P.K. Econometrica 41 (1973) 135
16. Mandelbrot B.B., and Taylor H. Oper. Res. 15 (1967) 1057
17. Epps T.W., and Epps M.L. Econometrica 44 (1976) 305
18. Tauchen G., and Pitts M. Econometrica 57 (1983) 485
19. Karpoff J. J. Finance Quant. Anal. 22 (1987) 109
20. Stock J. J. Amer. Statist. Assoc. 83 (1988) 77
21. Plerou V., et al. Phys. Rev. E 62 (2000) R3023
22. Gabaix X., et al. Nature 423 (2003) 267
23. Gabaix X., et al. J. Eur. Econom. Assoc. 5 (2007) 564
24. Gabaix X., et al. Physica A 382 (2007) 81
25. Qiu T., et al. Physica A 378 (2007) 387
26. Qiu T., et al. Phys. Rev. E 73 (2006) 065103
27. Zhou W.X., and Sornette D. Physica A 337 (2004) 243
28. Gu G.F., Chen W., and Zhou W.X. Physica A 387 (2008) 495
29. Gu G.F., Chen W., and Zhou W.X. Physica A 387 (2008) 3173
30. Cornett M.M., Schwarz T.V., and Szakmary A.C. J. Bank. Finance 19 (1995) 843
31. Andersen T.G., and Bollerslev T. J. Emp. Finance 4 (1997) 115
32. Dacorogna M.M., et al. J. Int. Money Finance 12 (1993) 413
33. Wood R.A., Mcinish T.H., and Ord J.K. J. Finance 40 (1985) 723
34. Harris L. J. Financial Econ. 16 (1986) 99
35. Admati A., and Pfleiderer P. Rev. Financial Studies 1 (1988) 3
36. Ekman P.D. J. Futures Markets 12 (1992) 365
37. Mcinish T.H., and Wood R.A. J. Finance 47 (1992) 753
38. Chan K.C., Christie W.G., and Schultz P.H. J. Business 68 (1995) 35
39. Ni X.-H., and Zhou W.-X. J. Korean Phys. Soc. 54 (2009) 786
40. Jiang Z.-Q., Chen W., and Zhou W.-X. Physica A 388 (2009) 433
41. Qiu T., Guo L., and Chen G. Physica A 387 (2008) 6812
42. Ren F., and Zhou W.-X. EPL 84 (2008) 68001
43. Ren F., Guo L., and Zhou W.-X. Physica A 388 (2009) 881
44. Jain P.C., and Joh G.H. J. Finance Quart. Anal. 23 (1988) 269
45. Pagan A. J. Emp. Finance 3 (1996) 15
46. Ding Z., Granger C.W.J., and Engle R.F. J. Emp. Finance 1 (1983) 83
47. Granger C.W.J., and Ding Z. J. Econometrics 73 (1996) 61
48. Peng C.K., et al. Chaos 5 (1995) 82
49. Peng C.K., et al. Phys. Rev. E 49 (1994) 1685