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- W3121937082 abstract "A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade. The price return is determined by the volume imbalance and number of trades. The model successfully reproduces the power-law distributions of the trading volume, number of trades and price return, and their relations. Moreover, the generated time series are long-range correlated. We demonstrate that the results are rather robust, and do not depend on the particular form of the trading probability." @default.
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- W3121937082 date "2009-11-01" @default.
- W3121937082 modified "2023-09-27" @default.
- W3121937082 title "Modeling interaction of trading volume in financial dynamics" @default.
- W3121937082 hasPublicationYear "2009" @default.
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