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- W3124217481 abstract "Abstract This paper investigates the scaling dependencies between measures of “activity” and of “size” for companiesincluded in the FTSE 100. The “size” of companies is measured by the total market capitalization. The“activity” is measured with several quantities related to t rades (transaction value per trade, transaction valueper hour, tick rate), to the order queue (total number of orders, total value), and to the price dynamic (spread,volatility). The outcome is that systematic scaling relations are observed: 1) the value exchanged by hourand value in the order queue have exponents lower than 1 respectively 0.90 and 0.75; 2) the tick rate andthe value per transaction scale with the exponents 0.39 and 0.44; 3) the annualized volatility is independentof the size, and the tick-by-tick volatility decreases withthe market capitalization with an exponent -0.23;4) the spread increases with the volatility with an exponent 0.94. A theoretical random walk argument isgiven that relates the volatility exponents with the exponents in points 1 and 2.The author would like to thank Xavier Gabaix for many stimulating discussions.1" @default.
- W3124217481 created "2021-02-01" @default.
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- W3124217481 date "2004-07-29" @default.
- W3124217481 modified "2023-09-27" @default.
- W3124217481 title "How the trading activity scales with the company sizes in the FTSE 100" @default.
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