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Scientific paper - Original scientific paper
Cross-correlations between volume change and price change
Proceedings of the National Academy of Sciences of the United States of America, 106 (2009), 52; 22079-22084. https://doi.org/10.1073/pnas.0911983106
Podobnik, Boris; Horvatić, Davor; Petersen, Alexander M.; Stanley, H. Eugene

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Podobnik, B., Horvatić, D., Petersen, A. M. & Stanley, H. E. (2009). Cross-correlations between volume change and price change. Proceedings of the National Academy of Sciences of the United States of America, 106. (52), 22079-22084. doi: 10.1073/pnas.0911983106

Podobnik, Boris, et al. "Cross-correlations between volume change and price change." Proceedings of the National Academy of Sciences of the United States of America, vol. 106, no. 52, 2009, pp. 22079-22084. https://doi.org/10.1073/pnas.0911983106

Podobnik, Boris, Davor Horvatić, Alexander M. Petersen and H. Eugene Stanley. "Cross-correlations between volume change and price change." Proceedings of the National Academy of Sciences of the United States of America 106, no. 52 (2009): 22079-22084. https://doi.org/10.1073/pnas.0911983106

Podobnik, B., et al. (2009) 'Cross-correlations between volume change and price change', Proceedings of the National Academy of Sciences of the United States of America, 106(52), pp. 22079-22084. doi: 10.1073/pnas.0911983106

Podobnik B, Horvatić D, Petersen AM, Stanley HE. Cross-correlations between volume change and price change. Proceedings of the National Academy of Sciences of the United States of America [Internet]. 2009 [cited 2024 December 29];106(52):22079-22084. doi: 10.1073/pnas.0911983106

B. Podobnik, D. Horvatić, A. M. Petersen and H. E. Stanley, "Cross-correlations between volume change and price change", Proceedings of the National Academy of Sciences of the United States of America, vol. 106, no. 52, pp. 22079-22084, 2009. [Online]. Available at: https://urn.nsk.hr/urn:nbn:hr:217:581748. [Accessed: 29 December 2024]

Metadata
Title (english)Cross-correlations between volume change and price change
AuthorBoris Podobnik
AuthorDavor Horvatić
AuthorAlexander M. Petersen
AuthorH. Eugene Stanley
Author's institutionUniversity of Zagreb
Faculty of Science
(Department of Physics)
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Physics
Abstract (english)
In finance, one usually deals not with prices but with growth rates R, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate R̃, the difference in logarithm between two consecutive values of trading volume. To this end, we use several methods to analyze the properties of volume changes |R̃|, and their relationship to price changes |R|. We analyze 14,981 daily recordings of the Standard and Poor's (S & P) 500 Index over the 59-year period 1950–2009, and find power-law cross-correlations between |R| and |R̃| by using detrended cross-correlation analysis (DCCA). We introduce a joint stochastic process that models these cross-correlations. Motivated by the relationship between |R| and |R̃|, we estimate the tail exponent α̃ of the probability density function P(|R̃|) ∼ |R̃|−1−α̃ for both the S & P 500 Index as well as the collection of 1819 constituents of the New York Stock Exchange Composite Index on 17 July 2009. As a new method to estimate α̃, we calculate the time intervals τq between events where R̃ > q. We demonstrate that τ̃q, the average of τq, obeys τ̃q ∼ qα̃. We find α̃ ≈ 3. Furthermore, by aggregating all τq values of 28 global financial indices, we also observe an approximate inverse cubic law.
Keywords (english)
Languageenglish
Publication typeScientific paper - Original scientific paper
Publication statusPublished
Peer reviewPeer review - international
Publication versionPublished version
Journal titleProceedings of the National Academy of Sciences of the United States of America
Numberingvol. 106, no. 52, pp. 22079-22084
p-ISSN0027-8424
DOIhttps://doi.org/10.1073/pnas.0911983106
URN:NBNurn:nbn:hr:217:581748
Publication2009
ProjectNumber: 119-0982930-1016
Title (croatian): Elementarne čestice, teorija polja i kozmologija
Leader: Ivica Picek
Jurisdiction: Croatia
Funding stream: ZP
Document URLhttp://dx.doi.org/10.1073/pnas.0911983106
Type of resourceText
Access conditionsOpen access
Terms of useLicence In copyright icon
Public note© 2009 National Academy of Sciences. Freely available online through the PNAS open access option. Contributed by H. Eugene Stanley, October 22, 2009 (sent for review September 19, 2009). Published online before print on December 15, 2009.
Created on2019-10-31 19:27:05