2005/01/13 by Robert Kitt, Jaan Kalda
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Asset (computer security) #Complex Systems and Time Series Analysis #Computer science #Econometrics #Economics #Equity (law) #Financial Risk and Volatility Modeling #Financial economics #Geography #Geology #Mathematics #Physics #Random variable #Random variate #Scaling #Series (stratigraphy) #Statistics #Stock (firearms) #Stock Market Forecasting Methods #Time series #Volume (thermodynamics) #cond-mat.stat-mech #q-fin.ST
paper · pdf · doi:10.1016/j.physa.2005.01.038
published as Physica A, 353, 2005, 480 · 16 pages, 5 figures, accepted for publication in Physica A
arxiv created 2005/01/13 · openalex publication_date 2005/02/21 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability periods. In the case of asset prices, such scaling behaviour can be used for risk forecasts: the probability of observing next day a large price movement is (super-universally) inversely proportional to the length of the ongoing low-variability period. Finally, a method is devised for a multi-factor scaling analysis. We apply the simplest, two-factor model to equity index and trading volume time series.