  We investigate the temporal correlations and multifractal nature of trading
volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We
find that the trading volume exhibit size-dependent non-universal long memory
and multifractal nature. No crossover in the power-law dependence of the
detrended fluctuation functions is observed. Our results show that the intraday
pattern in the trading volume has negligible impact on the long memory and
multifractality.
