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A Comprehensive Mapping of Real-World Studies and Data Sources for Oncology in China: Insights into Landscape, Challenges, and Future Direction. [PDF]
Oncol TherJia Y +6 more
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Profiling investor behavior in the Malaysian derivatives market using K-means clustering. [PDF]
Front Artif IntellTan EHL +5 more
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Landauer-Based Economic Temperature in Blockspace Markets: Evidence from Bitcoin and Ethereum. [PDF]
Entropy (Basel)Zouari M, Alon I, Shtudiner Z.
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Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close
The Journal of Finance, 1992ABSTRACTThis paper analyzes how the daily opening and closing of financial markets affect trading volume. We model the desire to trade at the beginning and end of the day as a function of overnight return volatility. NYSE data from 1933–88 indicate that closing volume is positively related to expected overnight volatility, while volume at the open is ...
Gerety, Mason S, Mulherin, J Harold
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Economic Modelling, 2019
Abstract This paper examines whether trading activity conveys valuable information about changes in market volatility dynamics. We use a modelling framework, in which the market smoothly switches from one state to another, according to the volume level.
Yosra Koubaa, Skander Slim
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Abstract This paper examines whether trading activity conveys valuable information about changes in market volatility dynamics. We use a modelling framework, in which the market smoothly switches from one state to another, according to the volume level.
Yosra Koubaa, Skander Slim
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Price fluctuations, market activity and trading volume
Quantitative Finance, 2001We investigate the relation between trading activity - measured by the number of trades [iopmath latex="$N_{Delta t}$"] N t [/iopmath] - and the price change [iopmath latex="$G_{Delta t}$"] G t [/iopmath] for a given stock over a time interval [iopmath latex="$[t,~t+Delta t]$"] [t, t + t] [/iopmath].
V. Plerou +4 more
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SSRN Electronic Journal, 2010
This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether ...
Sze Shih Ting +3 more
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This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether ...
Sze Shih Ting +3 more
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The Journal of Trading, 2017
We take the perspective of the practitioner who focuses on following the longitudinal performance of specific stocks and investigate whether volume may provide guidance on days of extreme price movements. For days of extreme price increases (the winners) and extreme price decreases (the losers), we show that extreme low volume is associated with future
Avis, Yu-Jung L. +2 more
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We take the perspective of the practitioner who focuses on following the longitudinal performance of specific stocks and investigate whether volume may provide guidance on days of extreme price movements. For days of extreme price increases (the winners) and extreme price decreases (the losers), we show that extreme low volume is associated with future
Avis, Yu-Jung L. +2 more
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Analysis of Trading Volume Activity Before And After The Announcement Of Covid-19 at PT Indosat
International Journal of Economics, Social Science, Entrepreneurship and Technology (IJESET), 2022This study aims to determine the effect of stock trading volume due to the impact before and after the Covid-19 event through an official announcement by the president. The population and sample in this study were the company PT Indosat Tbk. This study uses purposive sampling. The data source used is secondary data.
Adityo Leonardo Rahayaan +1 more
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Contract Rollover, Volume Ratio, and Trading Activity in Financial Futures Markets
SSRN Electronic Journal, 2014Financial futures trading volume data shows strong seasonality due to mechanic rollover activity, which contaminates the role of volume as a measure of information flow. This paper develops a method to construct the rollover trading volume based on the ratio of the trading volume of the nearest contract to the trading volume of the second nearest ...
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