Long-term correlations and multifractal analysis of trading volumes for Chinese stocks

TL;DR

This study analyzes the long-term correlations and multifractal properties of trading volumes for Chinese stocks, revealing size-dependent long memory and multifractality unaffected by intraday patterns.

Contribution

It provides the first detailed analysis of long memory and multifractality in Chinese stock trading volumes, showing their independence from intraday patterns.

Findings

Trading volumes exhibit size-dependent long memory.

Multifractal nature is present in trading volumes.

Intraday patterns have negligible impact on long memory and multifractality.

Abstract

We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibit size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in the trading volume has negligible impact on the long memory and multifractality.