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

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 α or β , which introduces a bias for small ( α , β < 0 ) or large ( α ,...

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Bibliographic Details
Published in:Physica A 2007-09, Vol.383 (1), p.10-15
Main Authors: Duarte Queirós, S.M., Moyano, L.G.
Format: Article
Language:English
Subjects:
Correlation
Financial market
Mutual information
Non-extensive statistical mechanics
Traded volume
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Summary: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 α or β , which introduces a bias for small ( α , β < 0 ) or large ( α , β > 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.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2007.04.082