Multi-fractal structure of traded volume in financial markets

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.

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Year of publication:	2006
Authors:	Moyano, L.G. ; de Souza, J. ; Duarte Queirós, S.M.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 371.2006, 1, p. 118-121
Publisher:	Elsevier
Subject:	Multi-fractality \| Financial markets \| Traded volume

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011062038