On the multi-fractal structure of traded volume in financial markets

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dc.creatorMoyano, L. G.
dc.creatorde Souza, J.
dc.creatorQueiros, S. M. Duarte
dc.date2005-12-24
dc.date.accessioned2026-07-07T12:07:42Z
dc.date.available2026-07-07T12:07:42Z
dc.descriptionIn this pre-print we explore the multi-fractal properties of 1 minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependences in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes essencially from the non-Gaussian form of the probability density functions and from non-linear dependences.
dc.identifierhttps://arxiv.org/abs/physics/0512240
dc.identifierhttp://arxiv.org/abs/physics/0512240
dc.identifierPhysica A 371, 118 (2006)
dc.identifierdoi:10.1016/j.physa.2006.04.098
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209059
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleOn the multi-fractal structure of traded volume in financial markets
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