On statistical properties of traded volume in financial markets

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

The European Physical Journal B: Condensed Matter and Complex Systems, 2006, vol. 50, issue 1, 165-168

Abstract: In this article we study the dependence degree of the traded volume of the Dow Jones 30 constituent equities by using a nonextensive generalised form of the Kullback-Leibler information measure. Our results show a slow decay of the dependence degree as a function of the lag. This feature is compatible with the existence of non-linearities in this type time series. In addition, we introduce a dynamical mechanism whose associated stationary probability density function (PDF) presents a good agreement with the empirical results. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

Keywords: 05.45.Tp Time series analysis, 89.65.Gh Economics; econophysics, financial markets, business and management, 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion, (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:eurphb:v:50:y:2006:i:1:p:165-168

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DOI: 10.1140/epjb/e2006-00130-1

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