交易量的递归区间分析
Recurrence interval analysis of trading volumes
摘要：
我们研究了连续交易量之间的重复间隔$τ$超过一定阈值$q$的统计特性。对2000年1月至2009年5月的20只中国流动股票和2003年1月至2009年4月的两个中国指数进行了重现期分析。与价格收益率的递归区间分布相似，交易量的递归区间分布的尾部也遵循幂律标度，并利用Kolmogorov-Smirnov（KS）统计量、加权KS统计量和Cram{é}r-von Mises准则对结果进行了拟合优度检验。条件概率分布和去趋势波动函数的测量表明，交易量之间的重现间隔存在短期和长期记忆效应。基于递归区间分析方法，我们进一步研究了交易量与价格收益率之间的关系。研究发现，大的交易量更有可能发生在大的价格回报，交易量和价格回报之间的协动是更明显的大交易量。
英文摘要：
We study the statistical properties of the recurrence intervals $τ$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2009. Similar to the recurrence interval distribution of the price returns, the tail of the recurrence interval distribution of the trading volumes follows a power-law scaling, and the results are verified by the goodness-of-fit tests using the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cram{é}r-von Mises criterion. The measurements of the conditional probability distribution and the detrended fluctuation function show that both short-term and long-term memory effects exist in the recurrence intervals between trading volumes. We further study the relationship between trading volumes and price returns based on the recurrence interval analysis method. It is found that large trading volumes are more likely to occur following large price returns, and the comovement between trading volumes and price returns is more pronounced for large trading volumes.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
