金融市场交易量的统计性质
On statistical properties of traded volume in financial markets
摘要：
本文利用Kullback-Leibler信息测度的非广延推广形式研究了道琼斯30指数成分股交易量的相关程度。我们的研究结果表明，作为滞后的函数的依赖度的缓慢衰减。这一特征与这类时间序列中存在的非线性是相容的。此外，我们引入了一个动力学机制，其相关的稳态概率密度函数（PDF）提出了一个很好的协议与经验结果。
英文摘要：
In this article we study the dependence degree of the traded volume of the Dow Jones 30 constituent equities by using a nonextensive generalised form of the Kullback-Leibler information measure. Our results show a slow decay of the dependence degree as a function of the lag. This feature is compatible with the existence of non-linearities in this type time series. In addition, we introduce a dynamical mechanism whose associated stationary probability density function (PDF) presents a good agreement with the empirical results.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
