英文标题：
《A new approach to the modeling of financial volumes》
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作者：
Guglielmo D\'Amico and Filippo Petroni
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最新提交年份：
2017
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英文摘要：
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi-Markov chain model. Based on this assumptions we show that this model is able to reproduce several empirical facts about volume evolution like time series dependence, intra-daily periodicity and volume asymmetry. Results have been obtained from a real data application to high frequency data from the Italian stock market from first of January 2007 until end of December 2010.
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中文摘要：
本文利用半马尔可夫方法研究了股票交易量的高频动态。更准确地说，我们假设交易量的日内对数变化由加权指数半马尔可夫链模型描述。基于这一假设，我们表明，该模型能够再现有关交易量演变的几个经验事实，如时间序列依赖性、日内周期性和交易量不对称性。从2007年1月1日至2010年12月底，通过对意大利股市高频数据的实际数据应用获得了结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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