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A New Approach to the Modeling of Financial Volumes

  • Guglielmo D’Amico
  • Fulvio Gismondi
  • Filippo Petroni
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 271)

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.

Keywords

Semi-Markov process High frequency data Financial volume 

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • Guglielmo D’Amico
    • 1
  • Fulvio Gismondi
    • 2
  • Filippo Petroni
    • 3
  1. 1.Department of PharmacyUniversity “G. d’Annunzio” of Chieti-PescaraChietiItaly
  2. 2.Department of Economic and Business ScienceUniversity “Guglielmo Marconi”RomeItaly
  3. 3.Department of Economy and BusinessUniversity of CagliariCagliariItaly

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