Does Security Transaction Volume-Price Behavior Resemble a Probability Wave - Quantitative Finance > Trading and Market MicrostructureReport as inadecuate




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Abstract: Motivated by how transaction amount constrain trading volume and pricevolatility in stock market, we, in this paper, study the relation betweenvolume and price if amount of transaction is given. We find that accumulativetrading volume gradually emerges a kurtosis near the price mean value over atrading price range when it takes a longer trading time, regardless of actualprice fluctuation path, time series, or total transaction volume in the timeinterval. To explain the volume-price behavior, we, in terms of physics,propose a transaction energy hypothesis, derive a time-independent transactionvolume-price probability wave equation, and get two sets of analytical volumedistribution eigenfunctions over a trading price range. By empiric test, weshow the existence of coherence in stock market and demonstrate the modelvalidation at this early stage. The volume-price behaves like a probabilitywave.



Author: Leilei Shi 1 2 3 1Department of Systems Science, School of Management, Beijing Normal University 2 Complex System Research Group,

Source: https://arxiv.org/







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