期刊
EUROPEAN PHYSICAL JOURNAL B
卷 50, 期 1-2, 页码 165-168出版社
SPRINGER
DOI: 10.1140/epjb/e2006-00130-1
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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.
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