Statistics seminar 2019 - “Sample Selection Procedure in Daily Trading Volume Processes"

  • Data: 14 giugno 2019 dalle 15:00 alle 16:00

Relatore
V.A. González-López - University of Campinas

Abstract
In this paper, we propose a procedure of selecting samples from a set of samples coming from Markovian processes of finite order and finite alphabet. Under the assumption of the existence of a law that prevails in at least q% of the samples of the collection, we show that the procedure allows to identify samples governed by the predominant law. The approach is based on a local metric between samples, which tends to zero when we compare samples of identical law and tends to infinity when comparing samples with different laws. The local metric allows to define a criterion which takes arbitrarily large values when the previous assumption about the existence of a predominant law does not hold. By means of this procedure, we map similarities and dissimilarities of some Brazilian stocks'daily trading volume dynamic.

Authors M. Fernández,  Jesús E. García, R. Gholizadeh, V.A. González-López

Organizzatore
Sabrina Mulinacci.