Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes

Details Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes

2007-02-21

arxiv.org/abs/physics/0702185v1

Physica A 383, 10 (2007)

Physics

Data Analysis, Statistics and Probability

6 pages, 2 figures

Scientific paper

10.1016/j.physa.2007.04.082

In this article we analyse linear correlation and non-linear dependence of traded volume, $v$, of the 30 constituents of Dow Jones Industrial Average at different value scales. Specifically, we have raised $v$ to some real value $\alpha $ or $\beta $, which introduces a bias for small ($ \alpha, \beta <0$) or large ($\alpha, \beta >1$) values. Our results show that small values of $v$ are regularly \emph{anti-correlated} with values at other scales of traded volume. This is consistent with the high liquidity of the 30 equities analysed and the asymmetric form of the multi-fractal spectrum for traded volume which has supported the dynamical scenario presented by us.

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