Multi-fractal structure of traded volume in financial markets

L.G. Moyano, J. de Souza and S.M. Duarte Queirós

Physica A: Statistical Mechanics and its Applications, 2006, vol. 371, issue 1, 118-121

Abstract: In this article, we explore the multi-fractal properties of 1-minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependencies in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes essentially from the non-Gaussian form of the probability density functions and from non-linear dependencies.

Keywords: Multi-fractality; Financial markets; Traded volume (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:371:y:2006:i:1:p:118-121

DOI: 10.1016/j.physa.2006.04.098

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