Liquidity and the multiscaling properties of the volume traded on the stock market

EPL

Volumn 77, Issue 2, 2007, Pages

  Eisler, Z ^a   Kertesz J ^a,b  

^a BUDAPEST UNIVERSITY OF TECHNOLOGY AND ECONOMICS   (Hungary)

^b AALTO UNIVERSITY   (Finland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79051469642     PISSN: 02955075     EISSN: 12864854     Source Type: Journal    
DOI: 10.1209/0295-5075/77/28001     Document Type: Article

References (28)

1. Ball P. 2006 Nature 441 686
2. Gallegati M., Keen S., Lux T. and Ormerod P. 2006 Physica A 370 1
3. New York Stock Exchange, New York, Trades and Quotes Database for 2000-2002
4. Bouchaud J.-P. and Potters M. 2000 Theory of Financial Risk (Cambridge: Cambridge University Press)
5. Mantegna R. N. and Stanley H. E. 1999 Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge: Cambridge University Press)
6. Zovko I. and Farmer J. D. 2002 Quant. Finance 2 387
7. Eisler Z. and Kertész J. 2006 Eur. Phys. J. B 51 145
8. Eisler Z. and Kertész J. 2006 Phys. Rev. E 73 046109
9. Yuen A. and Ivanov P. 2005 physics/0508203
10. Vicsek T. 1992 Fractal Growth Phenomena (Singapore: World Scientific Publishing)
11. Kantelhardt J., Zschiegner S., Koscielny-Bunde E., Havlin S., Bunde A. and Stanley H. E. 2002 Physica A 316 87
12. Borland L., Bouchaud J.-P., Muzy J.-F. and Zumbach G. 2005 cond-mat/0501292
13. Queirós S. M. D. 2005 Europhys. Lett. 71 339
14. Bassler K. E., Gunaratne G. H. and McCauley J. L. 2006 Physica A 369 343
15. Mainardi F., Raberto M., Gorenflo R. and Scalas E. 2000 Physica A 287 468
16. Eisler Z., Kertész J., Yook S.-H. and Barabsi A.-L. 2005 Europhys. Lett. 69 664
17. Bonanno G., Lillo F. and Mantegna R. N. 2000 Physica A 280 136
18. Pstor L. and Stambaugh R. 2003 J. Political Econ. 111 642
19. Chordia T., Roll R. and Subrahmanyam A. 2001 J. Finance 56 501
20. Farmer J. D., Gillemot L., Lillo F., Mike S. and Sen A. 2004 Quant. Finance 4 383
21. Farmer J. D. and Lillo F. 2004 Quant. Finance 4 C7
22. Lux T. 1996 Appl. Financial Econ. 6 463
23. Gopikrishnan P., Meyer M., Amaral L. and Stanley H. E. 1998 Eur. Phys. J. B 3 139
24. Gopikrishnan P., Plerou V., Gabaix X. and Stanley H. E. 2000 Phys. Rev. E 62 4493
25. Kwapien J., Oswiecimka P. and Drozdz S. 2005 Physica A 350 466
26. Matia K., Ashkenazy Y. and Stanley H. E. 2003 Europhys. Lett. 61 422
27. Moyano L., de Souza J. and Queirós S. M. D. 2005 physics/0512240
28. Eisler Z. and Kertész J. 2005 Phys. Rev. E 71 057104