Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
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. …