dorsal/arxiv
View SchemaYet on statistical properties of traded volume: correlation and mutual information at different value magnitudes
| Authors | Silvio M. Duarte Queiros, Luis G. Moyano |
|---|---|
| Categories | |
| ArXiv ID | physics/0702185 |
| URL | https://arxiv.org/abs/physics/0702185 |
| DOI | 10.1016/j.physa.2007.04.082 |
| Journal | Physica A 383, 10 (2007) |
Abstract
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 \emph{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.
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"abstract": "In this article we analyse linear correlation and non-linear dependence of\ntraded volume, $v$, of the 30 constituents of Dow Jones Industrial Average at\ndifferent value scales. Specifically, we have raised $v$ to some real value\n$\\alpha $ or $\\beta $, which introduces a bias for small ($ \\alpha, \\beta \u003c0$)\nor large ($\\alpha, \\beta \u003e1$) values. Our results show that small values of $v$\nare regularly \\emph{anti-correlated} with values at other scales of traded\nvolume. This is consistent with the high liquidity of the 30 equities analysed\nand the asymmetric form of the multi-fractal spectrum for traded volume which\nhas supported the dynamical scenario presented by us.",
"arxiv_id": "physics/0702185",
"authors": [
"Silvio M. Duarte Queiros",
"Luis G. Moyano"
],
"categories": [
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2007.04.082",
"journal_ref": "Physica A 383, 10 (2007)",
"title": "Yet on statistical properties of traded volume: correlation and mutual information at different value magnitudes",
"url": "https://arxiv.org/abs/physics/0702185"
},
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