On statistical properties of traded volume in financial markets

被引：32

作者：

de Souza, J ^{[1
]}

Moyano, LG ^{[1
]}

Queirós, SMD ^{[1
]}

机构：

[1] Ctr Brasileiro Pesquisas Fis, BR-22290180 Rio De Janeiro, Brazil

来源：

EUROPEAN PHYSICAL JOURNAL B | 2006年 / 50卷 / 1-2期

关键词：

05.45.Tp Time series analysis; 89.65.Gh Economics; econophysics, financial markets, business and management; 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion;

D O I：

10.1140/epjb/e2006-00130-1

中图分类号：

O469 [凝聚态物理学];

学科分类号：

070205 ;

摘要：

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.

引用

页码：165 / 168

页数：4

共 21 条

[1]

[Anonymous], 2000, THEORY FINANCIAL RIS

[2] From time series to superstatistics [J].

Beck, C ;

Cohen, EGD ;

Swinney, HL .

PHYSICAL REVIEW E, 2005, 72 (05)

[3] Superstatistics [J].

Beck, C ;

Cohen, EGD .

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2003, 322 (1-4) :267-275

[4] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].

BOLLERSLEV, T .

JOURNAL OF ECONOMETRICS, 1986, 31 (03) :307-327

[5] Information gain within nonextensive thermostatistics [J].

Borland, L ;

Plastino, AR ;

Tsallis, C .

JOURNAL OF MATHEMATICAL PHYSICS, 1998, 39 (12) :6490-6501

[6] Information gain within generalized thermostatistics (vol 39, pg 6490, 1998) [J].

Borland, L ;

Plastino, AR ;

Tsallis, C .

JOURNAL OF MATHEMATICAL PHYSICS, 1999, 40 (04) :2196-2196

[7]

DUARTE SM, 2005, EUROPHYS LETT, V73, P339

[8] 2 SINGULAR DIFFUSION PROBLEMS [J].

FELLER, W .

ANNALS OF MATHEMATICS, 1951, 54 (01) :173-182

[9]

Gell-Mann M., 2004, Nonextensive Entropy: Interdisciplinary Applications

[10] Statistical properties of share volume traded in financial markets [J].

Gopikrishnan, P ;

Plerou, V ;

Gabaix, X ;

Stanley, HE .

PHYSICAL REVIEW E, 2000, 62 (04) :R4493-R4496

← 1 2 3 →