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

Abstract

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.

6 pages, 2 figures

References in corpus (5)

• Statistical Properties of Share Volume Traded in Financial Markets
• Size matters: some stylized facts of the stock market revisited
• On the distribution of high-frequency stock market traded volume: a dynamical scenario
• On the multi-fractal structure of traded volume in financial markets
• On statistical properties of traded volume in financial markets

Cited by in corpus (3)

• Statistical mixing and aggregation in Feller diffusion
• Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features
• Identifying statistical indicators of temporal asymmetry using a data-driven approach