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7. Modelling of Stock Returns and Trading Volume

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dc.contributor.author Taisei Kaizoji
dc.date.accessioned 2016-07-22T07:49:46Z
dc.date.available 2016-07-22T07:49:46Z
dc.date.issued 2013-07
dc.identifier.issn 2277-9752
dc.identifier.uri http://hdl.handle.net/2259/855
dc.description IIM Kozhikode Society & Management Review 2(2) 147–155© 2013 Indian Instituteof Management Kozhikode en_US
dc.description.abstract 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. en_US
dc.language.iso en en_US
dc.publisher Sage Publications en_US
dc.subject Stock returns en_US
dc.subject Trading volume en_US
dc.subject Power-law distribution en_US
dc.subject Interacting traders en_US
dc.title 7. Modelling of Stock Returns and Trading Volume en_US
dc.type Research en_US

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  • July [11]
    2013: Vol 2 (2): 73-179

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