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

S.M. Duarte Queirós and L.G. Moyano

Physica A: Statistical Mechanics and its Applications, 2007, vol. 383, issue 1, 10-15

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 α or β, which introduces a bias for small (α,β<0) or large (α,β>1) values. Our results show that small values of v are regularly 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.

Keywords: Financial market; Traded volume; Correlation; Mutual information; Non-extensive statistical mechanics (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:383:y:2007:i:1:p:10-15

DOI: 10.1016/j.physa.2007.04.082

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