On the multi-fractal structure of traded volume in financial markets
L. G. Moyano, J. de Souza, S. M. Duarte Queiros
Abstract
In this pre-print we explore the multi-fractal properties of 1 minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependences in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes essencially from the non-Gaussian form of the probability density functions and from non-linear dependences.
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