On statistical properties of traded volume in financial markets

Abstract

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.

arXiv comment6 pages, 4 figures, 1 table. Based on the talk presented at "News, Expectations and Trends in Statistical Physics, NEXT-SigmaPhi 3rd International Conference. 13-18 August 2005, Kolymbari CRETE" Multi-fractal analysis section removed

References in corpus (4)

• Superstatistics
• Statistical Properties of Share Volume Traded in Financial Markets
• From time series to superstatistics
• On the distribution of high-frequency stock market traded volume: a dynamical scenario

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