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

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

2005-12-24

arxiv.org/abs/physics/0512240v1

Physica A 371, 118 (2006)

Physics

Data Analysis, Statistics and Probability

Scientific paper

10.1016/j.physa.2006.04.098

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.

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