On the multi-fractal structure of traded volume in financial markets
Data Analysis, Statistics and Probability
2008-12-02 v1 Statistical Finance
Abstract
In 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.
Keywords
Cite
@article{arxiv.physics/0512240,
title = {On the multi-fractal structure of traded volume in financial markets},
author = {L. G. Moyano and J. de Souza and S. M. Duarte Queiros},
journal= {arXiv preprint arXiv:physics/0512240},
year = {2008}
}