Cross-Correlations between Volume Change and Price Change (CROSBI ID 157007)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
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
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
Podaci o izdanju
106 (52)
2009.
22079-22084
objavljeno
0027-8424
10.1073/pnas.0911983106