Modelling of Stock Returns and Trading Volume

Taisei Kaizoji
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Taisei Kaizoji: Taisei Kaizoji is at Graduate School of Arts and Sciences, International Christian University, Tokyo, Japan. E-mail: kaizoji@icu.ac.jp

IIM Kozhikode Society & Management Review, 2013, vol. 2, issue 2, 147-155

Abstract: In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting-agent model of stock markets inspired from statistical mechanics ( Kaizoji & Kaizoji, 2003 ) to explore the empirical findings. We show that as the interaction among the interacting traders strengthens, both the returns and the trading volume present power-law behaviour.

Keywords: Stock returns; trading volume; power-law distribution; interacting traders (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:iimkoz:v:2:y:2013:i:2:p:147-155

DOI: 10.1177/2277975213507835

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