  In this article we study the dependence degree of the traded volume of the
Dow Jones 30 constituent equities by using a nonextensive generalised form of
the Kullback-Leibler information measure. Our results show a slow decay of the
dependence degree as a function of the lag. This feature is compatible with the
existence of non-linearities in this type time series. In addition, we
introduce a dynamical mechanism whose associated stationary probability density
function (PDF) presents a good agreement with the empirical results.
