Economic fluctuations and anomalous diffusion
Economic fluctuations and anomalous diffusion
We quantify the relation between trading activity --- measured by the number of transactions ${N}_{\ensuremath{\Delta}t}$---and the price change ${G}_{\ensuremath{\Delta}t}$ for a given stock, over a time interval $[t,t+\ensuremath{\Delta}t].$ To this end, we analyze a database documenting every transaction for 1000 U.S. stocks for the two-year period 1994--1995. We find that …