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

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  • Duarte Queirós, S.M.
  • Moyano, L.G.

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 α or β, which introduces a bias for small (α,β<0) or large (α,β>1) values. Our results show that small values of v are regularly 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.

Suggested Citation

  • Duarte Queirós, S.M. & Moyano, L.G., 2007. "Yet on statistical properties of traded volume: Correlation and mutual information at different value magnitudes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 10-15.
    • Handle: RePEc:eee:phsmap:v:383:y:2007:i:1:p:10-15
    DOI: 10.1016/j.physa.2007.04.082
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    Cited by:

    1. Michelle B Graczyk & Sílvio M Duarte Queirós, 2017. "Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-23, July.

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