Price fluctuations and market activity

P. Gopikrishnan*, V. Plerou, X. Gabaix, L. A N Amaral, H. E. Stanley

*Corresponding author for this work

Research output: Contribution to journalConference articlepeer-review

31 Scopus citations


We empirically quantify the relation between trading activity-measured by the number of transactions N-and the price change G(t) for a given stock, over a time interval [t,t+Δt]. We relate the time-dependent standard deviation of price changes-volatility-to two microscopic quantities: the number of transactions N(t) in Δt and the variance W2(t) of the price changes for all transactions in Δt. We find that the long-ranged volatility correlations are largely due to those of N. We then argue that the tail-exponent of the distribution of N is insufficient to account for the tail-exponent of P{G > x}. Since N and W display only weak inter-dependency, our results show that the fat tails of the distribution P{G > x} arises from W, which has a distribution with power-law tail exponent consistent with our estimates for G.

Original languageEnglish (US)
Pages (from-to)137-143
Number of pages7
JournalPhysica A: Statistical Mechanics and its Applications
Issue number1-2
StatePublished - Oct 1 2001
EventApplication of Physics in Economic Modelling (NATO ARW) - Prague, Czech Republic
Duration: Feb 8 2001Feb 10 2001


  • Anomalous diffusion
  • Econophysics
  • Stochastic volatility
  • Subordinate processes

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics


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