Local Fluctuations of the Signed Traded Volumes and the Dependencies of Demands: A Copula Analysis

J. Stat. Mech. (2018) 033407; doi. 10.1088/1742-5468/aab01c

20 Pages Posted: 28 Jun 2017 Last revised: 20 Apr 2018

See all articles by Shanshan Wang

Shanshan Wang

Faculty of Physics, University of Duisburg-Essen

Thomas Guhr

University of Duisburg-Essen

Date Written: April 3, 2018

Abstract

We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate K copula density function. We find that large local fluctuations strongly increase the positive dependence but lower slightly the negative one in the copula density. This interesting feature is due to cross-correlations of volume imbalances between stocks. Also, we explore the asymmetries of tail dependencies of the copula density, which are moderate for the negative dependencies but strong for the positive ones. For the latter, we reveal that large local fluctuations of the signed traded volumes trigger stronger dependencies of demands than of supplies, probably indicating a bull market with persistent raising of prices.

Keywords: copula density, volume imbalance, local fluctuations, two-phase behavior

JEL Classification: C32, D4, G12

Suggested Citation

Wang, Shanshan and Guhr, Thomas, Local Fluctuations of the Signed Traded Volumes and the Dependencies of Demands: A Copula Analysis (April 3, 2018). J. Stat. Mech. (2018) 033407; doi. 10.1088/1742-5468/aab01c, Available at SSRN: https://ssrn.com/abstract=2994009 or http://dx.doi.org/10.2139/ssrn.2994009

Shanshan Wang (Contact Author)

Faculty of Physics, University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Thomas Guhr

University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
46
Abstract Views
630
PlumX Metrics