In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi- Markov chain model. Based on this assumptions we show that this model is able to reproduce several empirical facts about volume evolution like time series dependence, intra-daily periodicity and volume asymmetry. Results have been obtained from a real data application to high frequency data from the Italian stock market from first of January 2007 until end of December 2010.
"A new approach to the modeling of financial volumes"
Gismondi F;
2019-01-01
Abstract
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi- Markov chain model. Based on this assumptions we show that this model is able to reproduce several empirical facts about volume evolution like time series dependence, intra-daily periodicity and volume asymmetry. Results have been obtained from a real data application to high frequency data from the Italian stock market from first of January 2007 until end of December 2010.File in questo prodotto:
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