The dynamics of traded value revisited

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $σ_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a crossover from weakly to strongly correlated behavior around the time scale of 1 day. The persistence in the strongly correlated regime increases with the average trading activity $\ev{f_i}$ as $H_...