On statistical properties of traded volume in financial markets
Abstract
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.
Keywords
Cite
@article{arxiv.physics/0510112,
title = {On statistical properties of traded volume in financial markets},
author = {Jeferson de Souza and Luis G. Moyano and Silvio M. Duarte Queiros},
journal= {arXiv preprint arXiv:physics/0510112},
year = {2008}
}
Comments
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