Modelling of Stock Returns and Trading Volume

被引：1
|
作者：
Kaizoji, Taisei [1 ]
机构：
[1] Int Christian Univ, Grad Sch Arts & Sci, Tokyo, Japan
来源：
IIM KOZHIKODE SOCIETY & MANAGEMENT REVIEW | 2013年 / 2卷 / 02期
基金：
日本学术振兴会;
关键词：
Stock returns; trading volume; power-law distribution; interacting traders;
D O I：
10.1177/2277975213507835
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting-agent model of stock markets inspired from statistical mechanics (Kaizoji & Kaizoji, 2003) to explore the empirical findings. We show that as the interaction among the interacting traders strengthens, both the returns and the trading volume present power-law behaviour.
引用
收藏
页码：147 / 155
页数：9
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