On statistical properties of traded volume in financial markets

Abstract

In this article we study the dependence degree of the traded volume of the Dow Jones 30 constituent equities by using a nonextensive generalised form of the Kullback-Leibler information measure. Our results show a slow decay of the dependence degree as a function of the lag. This feature is compatible with the existence of non-linearities in this type time series. In addition, we introduce a dynamical mechanism whose associated stationary probability density function (PDF) presents a good agreement with the empirical results.

Fitting the empirical distribution of intertrade durations

“…We further propose the use of q-exponential distributions, inspired by the fact that other relevant financial quantities, such as log-returns [11] and volumes [12], can be well described by related functions within the framework of Tsallis' non-extensive statistical mechanics [13].…”

An Information Approach to the Dynamics in Farm Income: Implications for Farmland Markets

“…Measuring the informational content of asset values originates with the work of Theil and Leenders [6] and Fama [7], who calculate the informational content of stock market prices using an information measure based on the entropy measure of Shannon [8]. Since then, use of entropy to forecast financial market volumes has become a valuable exercise [9][10][11][12][13]. We depart from the standard analysis in this paper to examine the informational content of changes in relative asset values and allow for a regional decomposition of the information measure.…”

Statistical mixing and aggregation in Feller diffusion

“…[16,17]). In particular, from q-Gamma fitting, an almost constant value of α is observed at the different scales.…”