Preferred numbers and the distributions of trade sizes and trading volumes in the Chinese stock market

• Published in: The European physical journal. B, Condensed matter physics Vol. 68; no. 1; pp. 145 - 152
• Main Authors: Mu, G.-H., Chen, W., Kertész, J., Zhou, W.-X.
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer-Verlag 01.03.2009; EDP Sciences
• Subjects: Applied sciences; Complex Systems; Condensed Matter Physics; Economics; Exact sciences and technology; Fluid- and Aerodynamics; General aspects; Interdisciplinary Physics; Physics; Physics and Astronomy; Solid State Physics; Asia; China; 89.75.Da Systems obeying scaling laws; 89.75.-k Complex systems; 89.65.Gh Economics; econophysics, financial markets, business and management; Gamma function; Trade; Stock markets
• ISSN: 1434-6028; 1434-6036
• DOI: 10.1140/epjb/e2009-00059-9

The distributions of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individualstocks exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the “q-Gamma” function for fitting the distribution by the Cramér-von Mises criterion. The empirical PDFs of tradingvolumes at different timescales Δt ranging from 1 min to 240 min can be well modeled. The applicability of the q-Gamma functions for multiple trades is restricted to the transaction numbers Δn≤ 8. We find that all the PDFs have power-law tails for large volumes. Using careful estimation of the average tail exponents α of the distributions of trade sizes and trading volumes, we get α> 2, well outside the Lévy regime.