Records of the traded value $f_i$ of stocks display fluctuation scaling, a proportionality between the standard deviation ${\sigma }_i$ and the average $⟨f_i⟩$: ${\sigma }_i\propto {⟨f_i⟩}^{\alpha }$, with a strong time scale dependence $\alpha \left(\Delta t\right)$. The nontrivial (i.e., neither 0.5 nor 1) value of $\alpha$ may have different origins and provides information about the microscopic dynamics. We present a set of stylized facts and then show their connection to such behavior. The functional form $\alpha \left(\Delta t\right)$ originates from two aspects of the dynamics: Stocks of larger companies both tend to be traded in larger packages and also display stronger correlations of traded value. The results are integrated into a general framework that can be applied to a wide range of complex systems.

• Received 30 September 2005

DOI:https://doi.org/10.1103/PhysRevE.73.046109