Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Mu, Guo-Hua · Chen, Wei · Kertész, János · Zhou, Wei-Xing
Original · EN
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 multifractal nature. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in the trading volume has negligible impact on the long memory and multifractality.
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