英文标题：
《Detrended cross-correlations between returns, volatility, trading
activity, and volume traded for the stock market companies》
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作者：
Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka
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最新提交年份：
2015
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英文摘要：
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactions), and volume traded. We search for the power-law cross-correlations among these quantities aggregated over different time units from 1 min to 10 min. Our study is based on empirical data from the American stock market consisting of tick-by-tick recordings of 31 stocks listed in Dow Jones Industrial Average during the years 2008-2011. Since all the considered quantities except the returns show strong daily patterns related to the variable trading activity in different parts of a day, which are the best evident in the autocorrelation function, we remove these patterns by detrending before we proceed further with our study. We apply the multifractal detrended cross-correlation analysis with sign preserving (MFCCA) and show that the strongest power-law cross-correlations exist between trading activity and volume traded, while the weakest ones exist (or even do not exist) between the returns and the remaining quantities. We also show that the strongest cross-correlations are carried by those parts of the signals that are characterized by large and medium variance. Our observation that the most convincing power-law cross-correlations occur between trading activity and volume traded reveals the existence of strong fractal-like coupling between these quantities.
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中文摘要：
我们考虑在固定时间间隔内股票市场交易的几个特征量：对数回报率、波动性、交易活动（即交易数量）和交易量。我们搜索这些数量在1分钟到10分钟的不同时间单位内聚集的幂律交叉相关性。我们的研究基于美国股市的经验数据，包括2008-2011年间道琼斯工业平均指数（Dow Jones Industrial Average）中31只股票的逐点记录。由于除了收益率之外，所有考虑的数量都显示出与一天中不同部分的可变交易活动相关的强大的每日模式，这在自相关函数中最为明显，因此我们在继续研究之前，通过去趋势化来移除这些模式。我们应用多重分形去趋势互相关分析（MFCCA），并表明交易活动与交易量之间存在最强的幂律互相关，而收益率与剩余数量之间存在（甚至不存在）最弱的幂律互相关。我们还表明，最强的互相关由具有大方差和中等方差特征的信号部分携带。我们观察到，交易活动和交易量之间存在最令人信服的幂律交叉相关性，这表明这些数量之间存在着强烈的分形耦合。
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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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