英文标题：
《Stock returns versus trading volume: is the correspondence more general?》
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作者：
Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka
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最新提交年份：
2013
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英文摘要：
This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock market. First, for stocks that were traded for suffciently long period of time, we study the return and volume distributions and identify their consistency with the power-law functions. We find that, for majority of stocks, the scaling exponents of both distri- butions are systematically related by about a factor of 2 with the ones for the returns being larger. Second, we study the empirical price impact of trades of a given volume and find that this impact can be well described by a square-root dependence: r(V) V^(1/2). We conclude that the prop- erties of data from the Polish market resemble those reported in literature concerning certain mature markets.
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中文摘要：
本文利用波兰股市的高频数据，对股市收益率与相应交易量之间的关系进行了定量分析。首先，对于交易时间足够长的股票，我们研究收益率和交易量分布，并确定它们与幂律函数的一致性。我们发现，对于大多数股票而言，两种分布的标度指数系统地相关系数约为2，收益率的标度指数更大。其次，我们研究了给定交易量的经验价格影响，发现这种影响可以用平方根依赖关系来描述：r（V）V^（1/2）。我们的结论是，波兰市场数据的属性类似于某些成熟市场文献中报告的属性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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