Preferred numbers and the distributions of trade sizes and trading volumes in the chinese stock market
文献类型：期刊论文
| 作者 | Mu, G. -H.1,2,3; Chen, W.4; Kertesz, J.3,5; Zhou, W. -X.1,2,6,7,8 |
| 刊名 | European physical journal b
 |
| 出版日期 | 2009-03-01 |
| 卷号 | 68期号:1页码:145-152 |
| ISSN号 | 1434-6028 |
| DOI | 10.1140/epjb/e2009-00059-9 |
| 通讯作者 | Mu, g. -h.() |
| 英文摘要 | The distributions of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid chinese stocks listed on the shenzhen stock exchange in the whole year 2003. we observe that the size distribution of trades for individualstocks exhibits jumps, which is caused by the number preference of traders when placing orders. we analyze the applicability of the "q-gamma" function for fitting the distribution by the cram,r-von mises criterion. the empirical pdfs of tradingvolumes at different timescales delta t ranging from 1 min to 240 min can be well modeled. the applicability of the q-gamma functions for multiple trades is restricted to the transaction numbers delta na parts per thousand currency sign 8. we find that all the pdfs have power-law tails for large volumes. using careful estimation of the average tail exponents alpha of the distributions of trade sizes and trading volumes, we get alpha > 2, well outside the l,vy regime. |
| WOS关键词 | PRICE CHANGES ; FINANCIAL-MARKETS ; FLUCTUATIONS ; LAW ; VOLATILITY ; STATISTICS ; FREQUENCY ; ECONOMICS ; DYNAMICS ; ORIGIN |
| WOS研究方向 | Physics |
| WOS类目 | Physics, Condensed Matter |
| 语种 | 英语 |
| 出版者 | SPRINGER |
| WOS记录号 | WOS:000265308800015 |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2399132 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Mu, G. -H. |
| 作者单位 | 1.E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China 2.E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China 3.Budapest Univ Technol & Econ, Dept Theoret Phys, H-1117 Budapest, Hungary 4.Shenzhen Stock Exchange, Shenzhen 518010, Peoples R China 5.Helsinki Univ Technol, Lab Computat Engn, FIN-02150 Espoo, Finland 6.E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China 7.E China Univ Sci & Technol, Engn Res Ctr Proc Syst Engn, Minist Educ, Shanghai 200237, Peoples R China 8.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Mu, G. -H.,Chen, W.,Kertesz, J.,et al. Preferred numbers and the distributions of trade sizes and trading volumes in the chinese stock market[J]. European physical journal b,2009,68(1):145-152. |
| APA | Mu, G. -H.,Chen, W.,Kertesz, J.,&Zhou, W. -X..(2009).Preferred numbers and the distributions of trade sizes and trading volumes in the chinese stock market.European physical journal b,68(1),145-152. |
| MLA | Mu, G. -H.,et al."Preferred numbers and the distributions of trade sizes and trading volumes in the chinese stock market".European physical journal b 68.1(2009):145-152. |
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来源：中国科学院大学
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