Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978502 | Physica A: Statistical Mechanics and its Applications | 2006 | 4 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
L.G. Moyano, J. de Souza, S.M. Duarte Queirós,