INVESTIGADORES
MOYANO Luis Gregorio
artículos
Título:
On statistical properties of traded volume in financial markets
Autor/es:
JEFERSON DE SOUZA; LUIS G. MOYANO; SILVIO M. DUARTE QUEIROS
Revista:
EUROPEAN PHYSICAL JOURNAL B - CONDENSED MATTER
Editorial:
SPRINGER
Referencias:
Lugar: Berlin; Año: 2006 vol. 50 p. 165 - 168
ISSN:
1434-6028
Resumen:
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.
