2005/11/19 by Leilei Shi · 27 citations
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #Computer science #Database transaction #Econometrics #Economics #Finance #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Kurtosis #Market maker #Market microstructure #Mathematics #Order (exchange) #Physics #Statistics #Stock market #Transaction data #Volatility (finance) #Volume (thermodynamics) #Volume-weighted average price #q-fin.ST #q-fin.TR
paper · pdf · doi:10.1016/j.physa.2005.10.016
published in Physica A Statistical Mechanics and its Applications 366, 419-436 (Elsevier BV) · 20 pages, 6 figures, and 2 Appendixes
openalex publication_date 2005/11/19 · arxiv created 2010/01/06 · arxiv updated 2015/05/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We find that accumulative trading volume gradually emerges a kurtosis near the price mean value over a trading price range when it takes a longer trading time, regardless of actual price fluctuation path, time series, or total transaction volume in the time interval. To explain the volume-price behavior, we, in terms of physics, propose a transaction energy hypothesis, derive a time-independent transaction volume-price probability wave equation, and get two sets of analytical volume distribution eigenfunctions over a trading price range. By empiric test, we show the existence of coherence in stock market and demonstrate the model validation at this early stage. The volume-price behaves like a probability wave.