The dynamics of traded value revisited

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value f (i) (or volume) has a finite variance ai for the very large majority of stocks i, and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a crossover from weakly to strongly correlated behavior around the time scale of I day. The persistence in the strongly correlated regime increases with the average trading activity (fi) as H-i = H-o + gamma log(f(i)), which is another sign of non-universal behavior. The existence of such liquidity dependent correlations is consistent with the empirical observation that sigma(i) alpha (f(i))(alpha), where alpha is a non-trivial, time scale dependent exponent. (C) 2007 Elsevier B.V. All rights reserved.