On the emergence of a generalised Gamma distribution. Application to traded volume in financial markets
On the emergence of a generalised Gamma distribution. Application to traded volume in financial markets
This letter reports on a stochastic dynamical scenario whose associated stationary probability density function is exactly a generalised form, with a power law instead of exponencial decay, of the ubiquitous Gamma distribution. This generalisation, also known as F-distribution, was empirically proposed for the first time to adjust for high-frequency stock …