Scaling theory of temporal correlations and size-dependent fluctuations in the traded value of stocks

Abstract

Records of the traded value ${f}_{i}$ of stocks display fluctuation scaling, a proportionality between the standard deviation ${\ensuremath{\sigma}}_{i}$ and the average $⟨{f}_{i}⟩$: ${\ensuremath{\sigma}}_{i}\ensuremath{\propto}{⟨{f}_{i}⟩}^{\ensuremath{\alpha}}$, with a strong time scale dependence $\ensuremath{\alpha}(\ensuremath{\Delta}t)$. The nontrivial (i.e., neither 0.5 nor 1) value of $\ensuremath{\alpha}$ may have different origins and provides information about the microscopic dynamics. We present a set of stylized facts and then show their connection to such behavior. The functional form $\ensuremath{\alpha}(\ensuremath{\Delta}t)$ originates from two aspects of the dynamics: Stocks of larger companies both tend to be traded in larger packages and also display stronger correlations of traded value. The results are integrated into a general framework that can be applied to a wide range of complex systems.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 84 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.