Dynamics of the number of trades of financial securities

@article{Bonanno2000DynamicsOT,
  title={Dynamics of the number of trades of financial securities},
  author={G. Bonanno and F. Lillo and R. Mantegna},
  journal={Physica A-statistical Mechanics and Its Applications},
  year={2000},
  volume={280},
  pages={136-141}
}
  • G. Bonanno, F. Lillo, R. Mantegna
  • Published 2000
  • Physics, Economics, Mathematics
  • Physica A-statistical Mechanics and Its Applications
  • We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-law behavior. We confirm the 1/f2 behavior for the spectral density of the logarithm of stock price, whereas we detect a 1/f-like behavior for the spectral density of the daily… CONTINUE READING
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