A new approach to the modeling of financial volumes

DOI10.1007/978-3-030-02825-1_15MaRDI QIDQ2329121zbMATH OpenOpenAlexFDO

Authors Guglielmo D'Amico, Fulvio Gismondi, Filippo Petroni

Publication date 17 October 2019

Full work available at URL https://arxiv.org/abs/1709.05823

zbMATH Keywords

financial volumehigh-frequency datasemi-Markov process

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Financial applications of other theories (91G80)

Abstract: In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi-Markov chain model. Based on this assumptions we show that this model is able to reproduce several empirical facts about volume evolution like time series dependence, intra-daily periodicity and volume asymmetry. Results have been obtained from a real data application to high frequency data from the Italian stock market from first of January 2007 until end of December 2010.

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• Sample selection procedure in daily trading volume processes
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