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

页码：147 / 155

页数：9

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