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Modeling of Stock Returns and Trading Volume

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  • Taisei Kaizoji

Abstract

In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of stock markets inspired from statistical mechanics [24] to explore the empirical findings. We show that as the interaction among the interacting traders strengthens both the returns and the trading volume present power-law behavior.

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  • Taisei Kaizoji, 2013. "Modeling of Stock Returns and Trading Volume," Papers 1309.2416, arXiv.org.
    • Handle: RePEc:arx:papers:1309.2416
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