Prefer a chat interface with context about you and your work?
Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis
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 $\mathcal{K}$ copula density function. We find that large local fluctuations strongly increase the …