We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-law behavior. We confirm the 1/ f2 behavior for the spectral density of the logarithm of stock price, whereas we detect a 1/ f-like behavior for the spectral density of the daily number of trades.
Physica A Statistical Mechanics and its Applications
- Pub Date:
- May 2000
- Condensed Matter - Statistical Mechanics;
- Quantitative Finance - Statistical Finance
- 3 pages, 3 figures, submitted to Physica A