7. Modelling of Stock Returns and Trading Volume

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