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Distributional Properties and Deviations of Transaction Sizes in U.S. Equities

Champike Attanayake
The Journal of Trading Fall 2009, 4 (4) 37-40; DOI: https://doi.org/10.3905/JOT.2009.4.4.037
Champike Attanayake
is an assistant professor at the department of mathematics, Miami University in Middletown, OH.
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  • For correspondence: attanac@muohio.edu
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Abstract

In order to get a comprehensive understanding of the market dynamics, we need to investigate the relationship between price and volume. However, it is a well known fact that it takes volume to move prices. We analyze the transaction data of S&P 500 stocks and found that the transaction size displays a power-law decay and can be characterized by an exponent within the stable Levy domain. Further more, most interestingly there are significant positive deviations at transaction sizes of 100, 500, 1000, 1500, 2000, 2500, 3000, 4000, 5000, 6000, …, 10000, for the S&P 500 companies. In other words, there are more trades at above trade sizes than anticipated by the Pareto distribution.

TOPICS: Statistical methods, volatility measures, exchanges/markets/clearinghouses

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Distributional Properties and Deviations of Transaction Sizes in U.S. Equities
Champike Attanayake
The Journal of Trading Sep 2009, 4 (4) 37-40; DOI: 10.3905/JOT.2009.4.4.037

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Distributional Properties and Deviations of Transaction Sizes in U.S. Equities
Champike Attanayake
The Journal of Trading Sep 2009, 4 (4) 37-40; DOI: 10.3905/JOT.2009.4.4.037
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