Temporal variations of serial correlations of trading volume in the US stock market

被引：3

作者：

Alvarez-Ramirez, Jose ^{[1
]}

Rodriguez, Eduardo ^{[1
]}

机构：

[1] Univ Autonoma Metropolitana Iztapalapa, Div Ciencias Basicas & Ingn, Mexico City 09340, DF, Mexico

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2012年 / 391卷 / 16期

关键词：

Stock market; Trading volume; Serial correlations; Business cycles; FINANCIAL TIME-SERIES; HURST EXPONENT; PRESIDENTIAL-ADDRESS; PRICE CHANGES; VOLATILITY; INVESTORS; BEHAVIOR; RETURNS; FLUCTUATIONS; INFORMATION;

D O I：

10.1016/j.physa.2012.03.030

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Serial correlations in the trading volume of the US stock market are investigated in this paper. The use of the detrended fluctuation analysis implemented within a rolling window indicated that, for the period 1929-2011, the strength of correlations exhibits important temporal variations with a trend shift by the 1990s, and 4-year and 21-year cycles. These empirical findings are compared to those obtained for mature international stock markets (FTSE-100 and Nikkei) and discussed in terms of potential economic and financial implications. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：4128 / 4135

页数：8

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