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Prices and Volumes on the Stock Market |
Krzysztof Karpio , Arkadiusz J. Orłowski |
Szkoła Główna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-787, Poland |
Abstract |
We present new results regarding relationships between prices and volumes on the Polish stock and exchange markets. To perform such analysis some variables describing investor memory are introduced. Our conclusions are discussed in a context of market maturity and compared to results obtained by other methods including Granger causality and the Hurst exponent. |
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Presentation: Invited oral at 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Krzysztof KarpioSee On-line Journal of 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych" Submitted: 2010-11-19 18:34 Revised: 2010-11-22 13:28 |