Lee, Sun Young; Hwang, Dong Il; Kim, Min Jae; Koh, In Gyu; … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 837-846
We study the cross-correlations of buy and sell volumes on the Korean stock market in high frequency. We observe that the pulling effects of volumes are as small as that of returns. The properties of the correlations of buy and sell volumes differ. They are explained by the degree of...