On the distribution of high-frequency stock market traded volume: a dynamical scenario

Details On the distribution of high-frequency stock market traded volume: a dynamical scenario On the distribution of high-frequency stock market traded volume: a dynamical scenario

2005-02-14

arxiv.org/abs/cond-mat/0502337v1

Europhys. Lett., 71 (3), 339--345 (2005)

Physics

Condensed Matter

Statistical Mechanics

Scientific paper

10.1209/epl/i2005-10109-0

This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture, physically connected to superstatiscs, which is intimately related with the current nonextensive statistical mechanics framework, is based on the idea of local fluctuations in the mean traded volume associated to financial markets agents herding behaviour. The corroboration of this mesoscopic model is done by modelising NASDAQ 1 and 2 minute stock market traded volume.

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