Cross-correlations between volume change and price change

DOI10.1073/pnas.0911983106zbMath1203.91208arXiv1011.2674OpenAlexW2145500502WikidataQ33563938 ScholiaQ33563938MaRDI QIDQ3069234

Davor Horvatić, Alexander Petersen, Boris Podobnik, H. Eugene Stanley

Publication date: 24 January 2011

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2674

zbMATH Keywords

financevolatilityeconophysics

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Heterogeneous agent models (91B69)

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Cites Work

• Volume, volatility, and leverage: A dynamic analysis
• A simple general approach to inference about the tail of a distribution
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Institutional Investors and Stock Market Volatility
• The Price Variability-Volume Relationship on Speculative Markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

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