On the multi-fractal structure of traded volume in financial markets

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

Papers from arXiv.org

Abstract: In this pre-print 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 dependences in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes essencially from the non-Gaussian form of the probability density functions and from non-linear dependences.

Date: 2005-12
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Published in Physica A 371, 118 (2006)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0512240

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