Dresden 2006 – scientific programme
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 2: Financial Markets and Risk Management I
AKSOE 2.4: Talk
Monday, March 27, 2006, 11:45–12:15, BAR 205
Size matters: parametric non-universality in stock market data — •Zoltan Eisler1 and Janos Kertesz1,2 — 1Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, Hungary — 2Laboratory of Computational Engineering, Helsinki University of Technology, Espoo, Finland
A careful analysis of the high resolution data of New York Stock Exchange and NASDAQ reveals that many characteristics of a stock’s trading activity depend monotonously on the capitalization of the underlying company. This applies to the means of traded value per minute and trading frequency. Moreover, the degree of persistence in these quantities is not universal among stocks: their Hurst exponent increases logarithmically with company size. A similar tendency is present in intertrade times, together with multiscaling. These findings indicate, that company size/capitalization acts as a continuous parameter that strongly influences the observed stylized facts.