Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis
arXiv:1706.09240 · doi:10.1088/1742-5468/aab01c
Abstract
We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate copula density function. We find that large local fluctuations strongly increase the positive dependence but lower slightly the negative one in the copula density. This interesting feature is due to cross-correlations of volume imbalances between stocks. Also, we explore the asymmetries of tail dependencies of the copula density, which are moderate for the negative dependencies but strong for the positive ones. For the latter, we reveal that large local fluctuations of the signed traded volumes trigger stronger dependencies of demands than of supplies, probably indicating a bull market with persistent raising of prices.
This is the Accepted Manuscript version of an article accepted for publication in Journal of Statistical Mechanics: Theory and Experiment. Neither SISSA Medialab Srl nor IOP Publishing Ltd is responsible for any errors or omissions in this version of the manuscript or any version derived from it. The Version of Record is available online at https://doi.org/10.1088/1742-5468/aab01c
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