Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes
| dc.creator | Queiros, Silvio M. Duarte | |
| dc.creator | Moyano, Luis G. | |
| dc.date | 2007-02-21 | |
| dc.date.accessioned | 2026-07-07T12:07:56Z | |
| dc.date.available | 2026-07-07T12:07:56Z | |
| dc.description | In this article we analyse linear correlation and non-linear dependence of traded volume, $v$, of the 30 constituents of Dow Jones Industrial Average at different value scales. Specifically, we have raised $v$ to some real value $α$ or $β$, which introduces a bias for small ($ α, β<0$) or large ($α, β>1$) values. Our results show that small values of $v$ are regularly \emph{anti-correlated} with values at other scales of traded volume. This is consistent with the high liquidity of the 30 equities analysed and the asymmetric form of the multi-fractal spectrum for traded volume which has supported the dynamical scenario presented by us. | |
| dc.description | 6 pages, 2 figures | |
| dc.identifier | https://arxiv.org/abs/physics/0702185 | |
| dc.identifier | http://arxiv.org/abs/physics/0702185 | |
| dc.identifier | Physica A 383, 10 (2007) | |
| dc.identifier | doi:10.1016/j.physa.2007.04.082 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209147 | |
| dc.subject | Data Analysis, Statistics and Probability | |
| dc.subject | Statistical Finance | |
| dc.title | Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes | |
| dc.type | text |