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Modelling of Stock Returns and Trading Volume

Author

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  • Taisei Kaizoji

    (Taisei Kaizoji is at Graduate School of Arts and Sciences, International Christian University, Tokyo, Japan. E-mail: kaizoji@icu.ac.jp)

Abstract

In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting-agent model of stock markets inspired from statistical mechanics ( Kaizoji & Kaizoji, 2003 ) to explore the empirical findings. We show that as the interaction among the interacting traders strengthens, both the returns and the trading volume present power-law behaviour.

Suggested Citation

  • Taisei Kaizoji, 2013. "Modelling of Stock Returns and Trading Volume," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 147-155, July.
    • Handle: RePEc:sae:iimkoz:v:2:y:2013:i:2:p:147-155
    DOI: 10.1177/2277975213507835
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    References listed on IDEAS

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