prikaz prve stranice dokumenta Cross-correlations between volume change and price change
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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. i 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, br. 52, 2009, str. 22079-22084. https://doi.org/10.1073/pnas.0911983106

Podobnik, Boris, Davor Horvatić, Alexander M. Petersen i 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, br. 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), str. 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. [pristupljeno 16.11.2024.];106(52):22079-22084. doi: 10.1073/pnas.0911983106

B. Podobnik, D. Horvatić, A. M. Petersen i 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, br. 52, str. 22079-22084, 2009. [Online]. Dostupno na: https://urn.nsk.hr/urn:nbn:hr:217:581748. [Citirano: 16.11.2024.]

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Podaci o radu
Naslov (engleski)Cross-correlations between volume change and price change
AutorBoris Podobnik
AutorDavor Horvatić
AutorAlexander M. Petersen
AutorH. Eugene Stanley
Autorova ustanovaSveučilište u Zagrebu
Prirodoslovno-matematički fakultet
(Fizički odsjek)
Znanstveno / umjetničko
područje, polje i grana		PRIRODNE ZNANOSTI
Fizika
Sažetak (engleski)
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.
Ključne riječi (engleski)
Jezikengleski
Vrsta publikacijeZnanstveni rad - Izvorni znanstveni rad
Status objaveObjavljen
Vrsta recenzijeRecenziran - međunarodna recenzija
Verzija publikacijeObjavljena verzija rada (izdavačev PDF)
Naslov časopisaProceedings of the National Academy of Sciences of the United States of America
Brojčani podacivol. 106, br. 52, str. 22079-22084
p-ISSN0027-8424
DOIhttps://doi.org/10.1073/pnas.0911983106
URN:NBNurn:nbn:hr:217:581748
Datum objave publikacije2009
ProjektŠifra: 119-0982930-1016
Naziv (hrvatski): Elementarne čestice, teorija polja i kozmologija
Voditelj: Ivica Picek
Pravna nadležnost: Hrvatska
Financijer: MZOS
Linija financiranja: ZP
URL dokumentahttp://dx.doi.org/10.1073/pnas.0911983106
Vrsta resursaTekst
Prava pristupaOtvoreni pristup
Uvjeti korištenjaIkona licence Zaštićeno autorskim pravom.
Javna napomena© 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.
Datum i vrijeme pohrane2019-10-31 19:27:05