《Modeling of Stock Returns and Trading Volume》
---
作者:
Taisei Kaizoji
---
最新提交年份:
2013
---
英文摘要:
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 [24] 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 behavior.
---
中文摘要:
在这项研究中,我们研究了收益率和交易量的统计特性。我们展示了收益率和交易量幂律分布的一个典型例子。接下来,我们提出了一个受统计力学启发的股票市场交互主体模型[24],以探索实证结果。我们发现,当相互作用的交易者之间的相互作用增强时,收益率和交易量都呈现幂律行为。
---
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
--
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
--
---
PDF下载:
-->