Abstract
In order to get a comprehensive understanding of the market dynamics, we need to investigate the relationship between price and volume. However, it is a well known fact that it takes volume to move prices. We analyze the transaction data of S&P 500 stocks and found that the transaction size displays a power-law decay and can be characterized by an exponent within the stable Levy domain. Further more, most interestingly there are significant positive deviations at transaction sizes of 100, 500, 1000, 1500, 2000, 2500, 3000, 4000, 5000, 6000, …, 10000, for the S&P 500 companies. In other words, there are more trades at above trade sizes than anticipated by the Pareto distribution. <b>TOPICS:</b>Statistical methods, volatility measures, exchanges/markets/clearinghouses
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
