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Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features. [PDF]
PLoS ONE, 2017 Employing Random Matrix Theory and Principal Component Analysis techniques, we enlarge our work on the individual and cross-sectional intraday statistical properties of trading volume in financial markets to the study of collective intraday features of ...
Michelle B Graczyk +1 more
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Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features. [PDF]
PLoS ONE, 2016 We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014.
Michelle B Graczyk +1 more
doaj +2 more sources
Heliyon, 2023 The relaxation of day trading restrictions in Taiwan at the start of 2016 resulted in a significant increase in day trading volume, which piqued our interest in researching the impact and profitability of day trading, expected (unexpected) day trading ...
Wan-Hsiu Cheng +4 more
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Analysis of trading volume and its use in prediction future price movements in the process of maximizing trading earnings [PDF]
SHS Web of Conferences, 2021 Research background: When we start looking for tools that could give a trader a certain trading advantage, we will certainly come across the problem of analysing the trading volume.
Chutka Jan, Rebetak Filip
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On the Volumes and Affine Types of Trades [PDF]
The Electronic Journal of Combinatorics, 2020 A $[t]$-trade is a pair $T=(T_+, T_-)$ of disjoint collections of subsets (blocks) of a $v$-set $V$ such that for every $0\le i\le t$, any $i$-subset of $V$ is included in the same number of blocks of $T_+$ and of $T_-$. It follows that $|T_+| = |T_-|$ and this common value is called the volume of $T$.
Ebrahim Ghorbani +3 more
openaire +4 more sources
Reaksi Pasar pada Peristiwa Rebalancing Indeks Msci di Negara Asean-5
Jurnal Kajian Akuntansi, 2023 Rebalancing the MSCI index is essential information in order to make investment recommendations. This event caused a market reaction that affected the stock price.
Arya Sindhung Widyatmoko, Doddy Setiawan
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Jurnal Manajemen, 2022 The purpose of this study was to analyze the impact of trading volume, trading frequency, and market capitalization on stock returns of the chemical sub-sector. This study uses quantitative data. The relationship between trading volume, trading frequency,
Immas Nurhayati
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Trading Volume and Arbitrage [PDF]
4th Annual International Conference on Accounting and Finance (AF 2014), 2014 Decomposing returns into market and stock specific components is common practice and forms the basis of popular asset pricing models. What about volume? Can volume be decomposed in the same way as returns? Lo and Wang (2000) suggest such a decomposition. Our paper contributes to this literature in two different ways.
Darolles, Serge, Le Fol, Gaëlle
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The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange [PDF]
تحقیقات مالی, 2013 This paper investigates the informational content of abnormal volume trading of shares listed at Tehran Stock Exchange (TSE) using an event study methodology.
Adbol Reza Talaneh +2 more
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Overconfidence and trading volume [PDF]
The Geneva Risk and Insurance Review, 2003 Theoretical models predict that overconfident investors will trade more than rational investors. We directly test this hypothesis by correlating individual overconfidence scores with several measures of trading volume of individual investors (number of trades, turnover).
Glaser, Markus, Weber, Martin
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