On statistical properties of traded volume in financial markets

Details On statistical properties of traded volume in financial markets On statistical properties of traded volume in financial markets

2005-10-12

arxiv.org/abs/physics/0510112v2

Eur. Phys. J. B 50, 165 - 168 (2006)

Physics

Data Analysis, Statistics and Probability

6 pages, 4 figures, 1 table. Based on the talk presented at "News, Expectations and Trends in Statistical Physics, NEXT-SigmaP

Scientific paper

10.1140/epjb/e2006-00130-1

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.

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