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

L. G. Moyano·J. de Souza·S. M. Duarte Queiros
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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.

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L. G. Moyano, J. de Souza, S. M. Duarte Queiros. 2005-12-24. On the multi-fractal structure of traded volume in financial markets. https://doi.org/10.1016/j.physa.2006.04.098

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