摘要翻译：
股权活动是金融市场研究的重要课题。为了探索其统计规律，我们对美国股票市场上3314只交易量最大的股票的交易价值进行了全面的检验，发现(i)交易价值服从对数正态分布；(ii)交易价值增长率的标准差与初始交易价值服从幂律，且幂律指数beta=0.14。值得注意的是，这两个特征都适用于广泛的采样间隔，从5分钟到20个交易日。进一步，我们发现3314只股票都具有长期相关性，它们的Hurst指数H服从正态分布。此外，我们发现赫斯特指数依赖于公司的规模。与Rybski等人最近在人类相互作用活动中发现的结果类似，我们还发现生长速率的标度与长期相关性的关系符合beta=1-h。
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英文标题：
《Statistical Regularities of Equity Market Activity》
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作者：
Fengzhong Wang, Kazuko Yamasaki, Shlomo Havlin, H. Eugene Stanley
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  Equity activity is an essential topic for financial market studies. To explore its statistical regularities, we comprehensively examine the trading value, a measure of the equity activity, of the 3314 most-traded stocks in the U.S. equity market and find that (i) the trading values follow a log-normal distribution; (ii) the standard deviation of the growth rate of the trading value obeys a power-law with the initial trading value, and the power-law exponent beta=0.14. Remarkably, both features hold for a wide range of sampling intervals, from 5 minutes to 20 trading days. Further, we show that all the 3314 stocks have long-term correlations, and their Hurst exponents H follow a normal distribution. Furthermore, we find that the Hurst exponent depends on the size of the company. We also show that the relation between the scaling in the growth rate and the long-term correlation is consistent with beta=1-H, similar to that found recently on human interaction activity by Rybski and collaborators.
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PDF链接：
https://arxiv.org/pdf/0911.4258