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izvor podataka: crosbi

Cross-Correlations between Volume Change and Price Change (CROSBI ID 157007)

Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija

Podobnik, Boris ; Horvatić, Davor ; Petersen, Alexander M. ; Stanley, Eugene H. Cross-Correlations between Volume Change and Price Change // Proceedings of the National Academy of Sciences of the United States of America, 106 (2009), 52; 22079-22084. doi: 10.1073/pnas.0911983106

Podaci o odgovornosti

Podobnik, Boris ; Horvatić, Davor ; Petersen, Alexander M. ; Stanley, Eugene H.

engleski

Cross-Correlations between Volume Change and Price Change

We use several methods to analyze the properties of volume changes $|\tilde R|$, and their relationship to price changes $|R|$. We analyze 14, 981 daily recordings of the S&P 500 index over the 59-year period 1950--2009, and find power-law cross-correlations between $|R|$ and $|\tilde R|$ using detrended cross-correlation analysis (DCCA).

econophysics; finance; volatility; trading volume; process; cross-correlations

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Podaci o izdanju

106 (52)

2009.

22079-22084

objavljeno

0027-8424

10.1073/pnas.0911983106

Povezanost rada

Fizika, Ekonomija

Poveznice
Indeksiranost