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On statistical properties of traded volume in financial markets

Author

Listed:
  • Jeferson de Souza
  • Luis G. Moyano
  • Silvio M. Duarte Queiros

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.

Suggested Citation

  • Jeferson de Souza & Luis G. Moyano & Silvio M. Duarte Queiros, 2005. "On statistical properties of traded volume in financial markets," Papers physics/0510112, arXiv.org, revised Nov 2005.
    • Handle: RePEc:arx:papers:physics/0510112
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