Recurrence interval analysis of trading volumes

Trading Partners and Trading Volumes∗

The Effect of Stock Return Sequences on Trading Volumes

The present study explores the effect of the gambler’s fallacy on stock trading volumes. I hypothesize that if a stock’s price rises (falls) during a number of consecutive trading days, then the gambler’s fallacy may cause at least some of the investors to expect that the stock’s price “has” to subsequently fall (rise), and thus, to increase their willingness to sell (buy) the stock, resulting ...

Long-term correlations and multifractal analysis of trading volumes for Chinese stocks

We investigate the temporal correlations and multifractal nature of trading volume of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading volume exhibits size-dependent non-universal long memory and multifractal nature. No crossover in the power-law dependence of the detrended fluctuation functions is observed. Our results show that the intraday pattern in t...

woman-defined identity: analysis of selected poems of adrienne rich

the current thesis is composed in five chapters in the following fashion: chapter two encompasses the applied framework of the project in details; the methodology of carl gustav jung to explain the process of individuation, the major archetypes and their attributes and his techniques to assess the mind’s strata are all explained. moreover, the austrian psychoanalysts, heinz kohut’s models of a...

Forecasting index volatility: sampling interval and non-trading effects

A detailed comparison is made of volatility forecasting techniques on Australian value-weighted indices. The techniques compared are the naı̈ve approach (historical volatility), an improved extreme-value method (IEV), the ARCH/GARCH class of models and an exponentially weighted moving average (EWMA) of volatility. The study suggests that the EWMA technique appears to be the best volatility forec...