Monetary facts revisited
نویسندگان
چکیده
منابع مشابه
Size matters: some stylized facts of the market revisited
We reanalyze high resolution data from the New York Stock Exchange and find a monotonous (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be cal...
متن کاملSize matters: some stylized facts of the stock market revisited
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value distribution is finite. Consequently, the Hurst exponents for the corresponding time series can be calc...
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ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 2018
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2018.04.006