INVESTIGADORES
MOYANO Luis Gregorio
artículos
Título:
Multi-fractal structure of traded volume in financial markets
Autor/es:
LUIS G. MOYANO; JEFERSON DE SOUZA; SILVIO M. DUARTE QUEIROS
Revista:
PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS
Editorial:
ELSEVIER SCIENCE BV
Referencias:
Lugar: Amsterdam; Año: 2006 vol. 371 p. 118 - 121
ISSN:
0378-4371
Resumen:
In this article, we explore the multi-fractal properties of 1-minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependencies in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes essentially from the non-Gaussian form of the probability density functions and from non-linear dependencies.
