Abstract
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting-agent model of stock markets inspired from statistical mechanics ( Kaizoji & Kaizoji, 2003 ) to explore the empirical findings. We show that as the interaction among the interacting traders strengthens, both the returns and the trading volume present power-law behaviour.
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