Modelling of stock returns and trading volume
Material type: Mixed materialsPublication details: 2014Description: 147-155Subject(s): NLM classification:- 332.6322
Item type | Current library | Call number | Vol info | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|
Periodicals/Magazines | SSCBS Library | 2/2 | Available | P15320 |
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power law distributions of the return and of the trading volume, Next, we propose an interacting agent model of stock markets inspired from statistical mechanics to explore the empirical findings. We show that as the interaction among the interacting traders strengthens, both the returns and the trading volume present power law behaviour.
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