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

Silvio M. Duarte Queiros and Luis G. Moyano

Papers from arXiv.org

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 $\alpha $ or $\beta $, which introduces a bias for small ($ \alpha, \beta 1$) values. Our results show that small values of $v$ are regularly \emph{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.

Date: 2007-02
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Physica A 383, 10 (2007)

Downloads: (external link)
http://arxiv.org/pdf/physics/0702185 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0702185

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().