Cross-correlations between volume change and price change
نویسندگان
چکیده
منابع مشابه
Cross-correlations between volume change and price change.
In finance, one usually deals not with prices but with growth rates R, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate R, the difference in logarithm between two consecutive values of trading volume. To this end, we use several methods to analyze the properties of volume changes |R|, and their rela...
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ژورنال
عنوان ژورنال: Proceedings of the National Academy of Sciences
سال: 2009
ISSN: 0027-8424,1091-6490
DOI: 10.1073/pnas.0911983106