In this article, we explore the multi-fractal properties of 1-minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependencies in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes essentially from the non-Gaussian form of the probability density functions and from non-linear dependencies.
Physica A Statistical Mechanics and its Applications
- Pub Date:
- November 2006
- Physics - Data Analysis;
- Statistics and Probability;
- Quantitative Finance - Statistical Finance
- Physica A 371, 118 (2006)