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On the multi-fractal structure of traded volume in financial markets

In this pre-print 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 dependences in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes essencially from the non-Gaussian form of the probability density functions and from non-linear dependences.
Year of publication:
2005-12
Authors: Moyano, L. G. ; Souza, J. de ; Queiros, S. M. Duarte
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Published in Physica A 371, 118 (2006)
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Persistent link: https://www.econbiz.de/10005098582
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