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Cross-correlations between volume change and price change
In finance, one usually deals not with prices but with growth rates R, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate R̃, the difference in logarithm between two consecutive values of trading volume. T...
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| Главные авторы: | , , , |
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| Формат: | Artigo |
| Язык: | Inglês |
| Опубликовано: |
National Academy of Sciences
2009
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| Предметы: | |
| Online-ссылка: | https://ncbi.nlm.nih.gov/pmc/articles/PMC2799689/ https://ncbi.nlm.nih.gov/pubmed/20018772 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.0911983106 |
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