Cross-correlations between volume change and price change.
PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA, no. 52.0 (2010): 22079-22084
In finance, one usually deals not with prices but with growth rates R, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate (R) over tilde, the difference in logarithm between two consecutive values of trading volume. To this end, we use several m...更多
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