On statistical properties of traded volume in financial markets

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dc.creatorde Souza, Jeferson
dc.creatorMoyano, Luis G.
dc.creatorQueiros, Silvio M. Duarte
dc.date2005-10-12
dc.date2005-11-29
dc.date.accessioned2026-07-07T12:07:39Z
dc.date.available2026-07-07T12:07:39Z
dc.descriptionIn 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.
dc.description6 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
dc.identifierhttps://arxiv.org/abs/physics/0510112
dc.identifierhttp://arxiv.org/abs/physics/0510112
dc.identifierEur. Phys. J. B 50, 165 - 168 (2006)
dc.identifierdoi:10.1140/epjb/e2006-00130-1
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209047
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleOn statistical properties of traded volume in financial markets
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