Alvarez-Ramírez, José; Rodríguez, Eduardo - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 16, pp. 4128-4135
Serial correlations in the trading volume of the US stock market are investigated in this paper. The use of the detrended fluctuation analysis implemented within a rolling window indicated that, for the period 1929–2011, the strength of correlations exhibits important temporal variations with...