Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis

DOI10.1088/1742-5468/aab01czbMath1459.91074arXiv1706.09240OpenAlexW2733008184MaRDI QIDQ4964524

Thomas Guhr, Shan-shan Wang

Publication date: 2 March 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.09240

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82) Consumer behavior, demand theory (91B42)

Cites Work

• Dependence structure of market states
• Statistical properties of demand fluctuation in the financial market
• Two phase behaviour and the distribution of volume
• PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS
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