Power Law and Evolutionary Trends in Stock Markets
12 Pages Posted: 14 Apr 2014
Date Written: May 1, 2006
We model the distribution of daily stock trading volume using the power law and document a new phenomenon. The power law exponent systematically increases with time suggesting that trading is becoming increasingly concentrated in a subset of stocks.
Keywords: Zipf's Law; Hirschman–Herfindahl Index; Stock trading volume
JEL Classification: G10; H39; D39
Suggested Citation: Suggested Citation