Related papers: Recurrence interval analysis of trading volumes
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
The statistical properties of the return intervals $\tau_q$ between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold $q$ are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks…
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…
Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are…
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return intervals $\tau$ as…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold…
We investigate the probability distribution of the return intervals $\tau$ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold $q$. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit…
We perform return interval analysis of 1-min {\em{realized volatility}} defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling…
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23…
We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit size-dependent non-universal long memory and…
In finance, one usually deals not with prices but with growth rates $R$, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate $\tilde R$, the…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
By studying the statistics of recurrence intervals, $\tau$, between volatilities of Internet traffic rate changes exceeding a certain threshold $q$, we find that the probability distribution functions, $P_{q}(\tau)$, for both byte and…
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…
In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of…
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of…