Yet on statistical properties of traded volume: Correlation and mutual information at different value magnitudes

SILVIO M. DUARTE QUEIROS; LUIS G. MOYANO

PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS

ELSEVIER SCIENCE BV

Lugar: Amsterdam; Año: 2007 vol. 383 p. 10 - 15

0378-4371

In this article we analyse linear correlation and non-linear dependence of traded volume, v, of the 30 constituents of Dow Jones Industrial Average at different value scales. Specifically, we have raised v to some real value alpha or beta, which introduces a bias for small (alpha, beta < 0) or large (alpha, beta > 1) values. Our results show that small values of v are regularly anti-correlated with values at other scales of traded volume. This is consistent with the high liquidity of the 30 equities analysed and the asymmetric form of the multi-fractal spectrum for traded volume which has supported the dynamical scenario presented by us.