文献类型：期刊文献

英文题名：Recurrence interval analysis of trading volumes

作者：Ren, Fei[1,2];Zhou, Wei-Xing[1,2,3]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China

年份：2010

卷号：81

期号：6

外文期刊名：PHYSICAL REVIEW E

收录：;EI(收录号：20102413010051);WOS:【SCI-EXPANDED(收录号:WOS:000278607500002)】；

基金：We are grateful to Kun Guo (Research Center on Fictitious Economics & Data Science, Chinese Academy of Sciences) for retrieving the data analyzed in this work and Gao-Feng Gu (School of Business, East China University of Science and Technology) for preprocessing the data. This work was partially supported by the National Natural Science Foundation (Grant No. 10905023), the Program for New Century Excellent Talents in University (Grant No. NCET-07-0288), the Zhejiang Provincial Natural Science Foundation of China (Grant No. Z6090130), Humanities and Social Sciences Fund sponsored by Ministry of Education of the People's Republic of China (Grant No. 09YJCZH042), "Chen Guang" project and "Shu Guang" project sponsored by Shanghai Municipal Education Commission and Shanghai Education Development Foundation (Grants No. 2008CG37 and No. 2008SG29), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Financial markets - Probability distributions - Commerce

摘要：We study the statistical properties of the recurrence intervals tau between successive trading volumes exceeding a certain threshold q. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2009. Similar to the recurrence interval distribution of the price returns, the tail of the recurrence interval distribution of the trading volumes follows a power-law scaling, and the results are verified by the goodness-of-fit tests using the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cramer-von Mises criterion. The measurements of the conditional probability distribution and the detrended fluctuation function show that both short-term and long-term memory effects exist in the recurrence intervals between trading volumes. We further study the relationship between trading volumes and price returns based on the recurrence interval analysis method. It is found that large trading volumes are more likely to occur following large price returns, and the comovement between trading volumes and price returns is more pronounced for large trading volumes.