Trading Volume and Information Dynamics of Financial Markets

S.G. Redsun, R.D. Jones, R.E. Frye and K.D. Myers
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S.G. Redsun: CommodiCast
R.D. Jones: CommodiCast
R.E. Frye: CommodiCast
K.D. Myers: CommodiCast

A chapter in Practical Fruits of Econophysics, 2006, pp 283-285 from Springer

Abstract: Summary We describe a new financial diagnostic method, related to the entropy generated when a limit trader satisfies market demand by filling orders, thereby playing the role of a Maxwell Demon. By comparing the real cumulative trading volume to some measure of historically “normal” demand, one may determine whether the market shows excess order or disorder, and accordingly adjust one’s trading strategy.

Keywords: Entropy; Maxwell Demon; Trading volume (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_51

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DOI: 10.1007/4-431-28915-1_51

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