Self-similarity and non-Markovian behavior in traded stock volumes

The volume traded daily for 17 stocks is followed over a period of about half a century. We look at the volume of stocks traded in a certain time interval (day, week, month) and analyze how long that traded volume keeps monotonically increasing or decreasing. On all three times scales we find that t...

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Veröffentlicht in:	The European physical journal. B, Condensed matter physics Condensed matter physics, 2015-11, Vol.88 (11), Article 300
Hauptverfasser:	Brown, Frank R., Pravica, David, Bier, Martin
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Complex Systems Condensed Matter Physics Fluid- and Aerodynamics Physics Physics and Astronomy Regular Article Solid State Physics Stocks
Online-Zugang:	Volltext
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