Modelling of stock returns and trading volume

By:

KAIZOJI, TAISEI

Material type:

Mixed materialsPublication details: 2014Description: 147-155Subject(s):

STOCK MARKET

NLM classification:

332.6322

In: IIM KOZHIKODE SOCIETY & MANAGEMENT REVIEWMSummary: 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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Holdings
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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