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New dynamics between volume and volatility
Zheng ZY(郑泽宇)1,2,3; Gui J(桂珺)1,2,3,4,5; Qiao, Zhi6,7; Fu Y(傅洋)1,2,3; Stanley, H.Eugene8; Li, Baowen9
Department数字工厂研究室
Source PublicationPhysica A: Statistical Mechanics and its Applications
ISSN0378-4371
2019
Volume525Pages:1343-1350
Indexed BySCI ; EI ; SSCI
EI Accession number20191506769280
WOS IDWOS:000474503900119
Contribution Rank1
KeywordDynamics Volume Volatility Local maximum volatility Scaling
Abstract

Understanding, quantifying and predicting market fluctuation has become increasingly important in recent decades. Volatility and volume are the two commonly used quantities to study the market dynamics and the relationship between these two has been modeled and debated for years with several hypothesis been put forward. Using empirical data, we investigate the causality and correlation between volume and volatility and find new ways in which they interact, particularly when the levels of both are high. We find that the volume-conditional volatility distribution scales with volume as a power-law function with an exponential cutoff. We exploit the characteristics of a volume-volatility scatterplot and find a strong correlation between logarithmic volume and a quantity we define as local maximum volatility (LMV), the highest volatility observed in a given range of volume. This supports our empirical analysis, showing that volume is an effective parameter for prediction of the maximum value of volatility for both same-day and near-future time periods. The joint conditional probability of volume and volatility also indicates if we invoke both quantities, the prediction of the largest next-day volatility will be better than invoking either one alone. This approach is thus a greatly improved method of risk assessment.

Language英语
WOS SubjectPhysics, Multidisciplinary
WOS KeywordTRADING VOLUME ; STOCK ; PRICES ; MEMORY ; MODEL
WOS Research AreaPhysics
Funding ProjectNSF[PHY-1505000] ; DTRA[HDTRA1-14-1-0017] ; Program for National Natural Science Foundation[71671182] ; NSF[PHY-1505000] ; DTRA[HDTRA1-14-1-0017] ; Program for National Natural Science Foundation[71671182]
Citation statistics
Cited Times:1[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.sia.cn/handle/173321/24590
Collection数字工厂研究室
Corresponding AuthorGui J(桂珺)
Affiliation1.Shenyang Institute of Automation, Chinese Academy of Sciences, Shenyang 110016, China
2.Institutes for Robotics and Intelligent Manufacturing, Chinese Academy of Sciences, Shenyang 110016, China
3.Key Laboratory of Network Control System, Chinese Academy of Sciences, Shenyang 110016, China
4.University of Chinese Academy of Sciences, Beijing 100049, China
5.School of Information Science and Engineering, Shenyang University of Technology, Shenyang 110870, China
6.Department of Physics and Centre for Computational Science and Engineering, National University of Singapore, Singapore 117542, Singapore
7.NUS Graduate School for Integrative Sciences and Engineering, National University of Singapore, Singapore 117456, Singapore
8.Center for Polymer Studies, Boston University, MA 02215, United States
9.Department of Mechanical Engineering, University of Colorado, Boulder, CO 80309, United States
Recommended Citation
GB/T 7714
Zheng ZY,Gui J,Qiao, Zhi,et al. New dynamics between volume and volatility[J]. Physica A: Statistical Mechanics and its Applications,2019,525:1343-1350.
APA Zheng ZY,Gui J,Qiao, Zhi,Fu Y,Stanley, H.Eugene,&Li, Baowen.(2019).New dynamics between volume and volatility.Physica A: Statistical Mechanics and its Applications,525,1343-1350.
MLA Zheng ZY,et al."New dynamics between volume and volatility".Physica A: Statistical Mechanics and its Applications 525(2019):1343-1350.
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