Abstract
Records of the traded value of stocks display fluctuation scaling, a proportionality between the standard deviation and the average : , with a strong time scale dependence . The nontrivial (i.e., neither 0.5 nor 1) value of may have different origins and provides information about the microscopic dynamics. We present a set of stylized facts and then show their connection to such behavior. The functional form originates from two aspects of the dynamics: Stocks of larger companies both tend to be traded in larger packages and also display stronger correlations of traded value. The results are integrated into a general framework that can be applied to a wide range of complex systems.
- Received 30 September 2005
DOI:https://doi.org/10.1103/PhysRevE.73.046109
©2006 American Physical Society