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On statistical properties of traded volume in financial markets

Jeferson de Souza·Luis G. Moyano·Silvio M. Duarte Queiros
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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.

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Jeferson de Souza, Luis G. Moyano, Silvio M. Duarte Queiros. 2005-11-29. On statistical properties of traded volume in financial markets. https://doi.org/10.1140/epjb/e2006-00130-1

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