Cross-correlations between volume change and price change.

  title={Cross-correlations between volume change and price change.},
  author={Boris Podobnik and Davor Horvatic and Alexander Michael Petersen and Harry Eugene Stanley},
  journal={Proceedings of the National Academy of Sciences of the United States of America},
  volume={106 52},
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 R, the difference in logarithm between two consecutive values of trading volume. To this end, we use several methods to analyze the properties of volume changes |R|, and their relationship to price changes |R|. We analyze 14,981 daily recordings of the Standard and Poor's (S & P… CONTINUE READING
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