Modeling of Stock Returns and Trading Volume
AbstractIn 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  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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1309.2416.
Date of creation: Sep 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-24 (All new papers)
- NEP-FMK-2013-09-24 (Financial Markets)
- NEP-MST-2013-09-24 (Market Microstructure)
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