标题： 时间波动尺度的泰勒定律在股票流动性中的应用 显示英文标题

标题： Taylor's Law of temporal fluctuation scaling in stock illiquidity

摘要： 泰勒的时序波动尺度定律，方差$\sim$ $a($ 均值$)^b$，在自然科学和社会科学中普遍存在。 我们首次报告了股票流动性中坚实的时序波动尺度定律的有力证据，这是通过研究上海证券交易市场（SHSE）和深圳证券交易市场（SZSE）几乎所有股票在1999年至2011年期间的高频流动性均值-方差关系得出的。 泰勒定律适用于A股市场（SZSE主板、SZSE中小企业板、SZSE二板、SHSE主板）和B股市场（SZSE B股和SHSE B股）。 我们发现，对于A股市场，尺度指数$b$大于2，而对于B股市场，则小于2。 我们进一步揭示了泰勒定律适用于17个行业类别、28个工业部门以及31个省和直辖市，大多数尺度指数$b\in(2,3)$。 我们还研究了$\Delta{t}$-最小流动性，并发现当$\Delta{t}$值较小时，标度指数$b(\Delta{t})$以对数方式增加，并迅速下降至一个稳定水平。 显示英文摘要

摘要： Taylor's law of temporal fluctuation scaling, variance $\sim$ $a($mean$)^b$, is ubiquitous in natural and social sciences. We report for the first time convincing evidence of a solid temporal fluctuation scaling law in stock illiquidity by investigating the mean-variance relationship of the high-frequency illiquidity of almost all stocks traded on the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) during the period from 1999 to 2011. Taylor's law holds for A-share markets (SZSE Main Board, SZSE Small & Mediate Enterprise Board, SZSE Second Board, and SHSE Main Board) and B-share markets (SZSE B-share and SHSE B-share). We find that the scaling exponent $b$ is greater than 2 for the A-share markets and less than 2 for the B-share markets. We further unveil that Taylor's law holds for stocks in 17 industry categories, in 28 industrial sectors and in 31 provinces and direct-controlled municipalities with the majority of scaling exponents $b\in(2,3)$. We also investigate the $\Delta{t}$-min illiquidity and find that the scaling exponent $b(\Delta{t})$ increases logarithmically for small $\Delta{t}$ values and decreases fast to a stable level.