On statistical properties of traded volume in financial markets
Loading...
Date
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
In this article we study the dependence degree of the traded volume of the Dow Jones 30 constituent equities by using a nonextensive generalised form of the Kullback-Leibler information measure. Our results show a slow decay of the dependence degree as a function of the lag. This feature is compatible with the existence of non-linearities in this type time series. In addition, we introduce a dynamical mechanism whose associated stationary probability density function (PDF) presents a good agreement with the empirical results.
6 pages, 4 figures, 1 table. Based on the talk presented at "News, Expectations and Trends in Statistical Physics, NEXT-SigmaPhi 3rd International Conference. 13-18 August 2005, Kolymbari CRETE" Multi-fractal analysis section removed
6 pages, 4 figures, 1 table. Based on the talk presented at "News, Expectations and Trends in Statistical Physics, NEXT-SigmaPhi 3rd International Conference. 13-18 August 2005, Kolymbari CRETE" Multi-fractal analysis section removed