英文标题：
《Scaling Features of Price-Volume Cross-Correlation》
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作者：
Jamshid Ardalankia, Mohammad Osoolian, Emmanuel Haven, G.Reza Jafari
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最新提交年份：
2020
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英文摘要：
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation and need to know how structures in different scales translate information. To explore the influence of investment size (trading volume), price-wise (gain/loss), and time-scale effects, we analyzed the price and trading volume and their coupling by applying the MF-DXA method. Our results imply that price, trading volume, and price-volume coupling exhibit a power law and are also multifractal. Meanwhile, considering developed markets, the price-volume couplings are significantly negatively correlated. However, in emerging markets, the price has less of a contribution to price-volume coupling. In emerging markets in comparison with the developed markets, trading volume and price are more independent.
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中文摘要：
没有交易的价格毫无意义。交易量验证了其对应的价格，因此价格和交易量之间存在着相互信息和相关性。我们对这种相关性的分形特征很好奇，需要知道不同尺度的结构是如何转换信息的。为了探讨投资规模（交易量）、价格（收益/损失）和时间尺度效应的影响，我们应用MF-DXA方法分析了价格和交易量及其耦合。我们的结果表明，价格、交易量和价格-量耦合呈现幂律，并且也是多重分形的。同时，考虑到发达市场，价格-数量耦合显著负相关。然而，在新兴市场，价格对量价耦合的贡献较校与发达市场相比，新兴市场的交易量和价格更加独立。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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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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