Eur. Phys. J. B 68, 145-152 (2009)
https://doi.org/10.1140/epjb/e2009-00059-9

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

¹ School of Business, East China University of Science and Technology, 200237, Shanghai, P.R. China
² School of Science, East China University of Science and Technology, 200237, Shanghai, P.R. China
³ Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, Hungary
⁴ Shenzhen Stock Exchange, 5045 Shennan East Road, 518010, Shenzhen, P.R. China
⁵ Laboratory of Computational Engineering, Helsinki University of Technology, Espoo, Finland
⁶ Research Center for Econophysics, East China University of Science and Technology, 200237, Shanghai, P.R. China
⁷ Engineering Research Center of Process Systems Engineering (Ministry of Education), East China University of Science and Technology, 200237, Shanghai, P.R. China
⁸ Research Center on Fictitious Economics & Data Science, Chinese Academy of Sciences, 100080, Beijing, P.R. China

Corresponding author: ^a wxzhou@ecust.edu.cn

Received: 8 December 2008
Revised: 21 January 2009
Published online: 21 February 2009

Abstract

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 individual stocks 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 trading volumes 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.