2017/09/18 by Guglielmo D’Amico, D'Amico, Guglielmo, Filippo Petroni +1
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1709.05823
openalex publication_date 2017/09/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.