On statistical properties of traded volume in financial markets
Centro Brasileiro de Pesquisas Físicas, 150, 22290-180 Rio de Janeiro, RJ, Brazil
Revised: 29 November 2005
Published online: 12 April 2006
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.
PACS: 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
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2006