Results 281 to 290 of about 13,771,846 (304)

Activity in futures: does underlying market size relate to futures trading volume?

Review of Quantitative Finance and Accounting, 2009
This study investigates the determinants of trading volume in the futures markets and focuses on underlying market characteristics as an explanation for futures trading volume. Four major futures contracts traded on the Sydney Futures Exchange are investigated: the stock price index (SPI); the 90-day bank accepted bill (BAB); the 3-year bond; and the ...
Alex Frino, Elvis Jarnecic, Hui Zheng
openaire   +1 more source

How social network sentiments and activities impact cryptocurrencies' trading volume and volatility?

2022
This paper studies how the trading volume and volatility of Bitcoin and Ether are impacted by social media such as Twitter and GitHub. Bitcoin and Ether are the two largest cryptocurrencies in terms of market capitalization, and represent over 70\% of the total cryptocurrency market in combined value.
openaire   +1 more source

The explanatory power of trading volume and insider activity in a pari-mutuel betting market

The European Journal of Finance, 2011
In this paper, we examine the role played by the holders of privileged information (insiders) in stimulating trading volume which adds explanatory power to a price-based model of returns in a market where the actions of insiders can be isolated – a pari-mutuel betting market. We conduct conditional logit analyses based on data relating to 19,164 horses
Bruce, Alistair, Johnson, Johnnie, Tang, Leilei   +2 more
openaire   +3 more sources

Spectral Volume Models: Universal High-Frequency Periodicities in Intraday Trading Activities

Management Science
We develop spectral volume models to systematically estimate, explain, and exploit the high-frequency periodicity in intraday trading activities using Fourier analysis. The framework consistently recovers periodicities at specific frequencies in three steps, despite their low signal-to-noise ratios.
Lintong Wu, Ruixun Zhang, Yuehao Dai
openaire   +1 more source

Spectral Volume Models: High-Frequency Periodicities in Intraday Trading Activities

SSRN Electronic Journal, 2022
Lintong Wu, Ruixun Zhang, Yuehao Dai
openaire   +1 more source

Trading volume and realized volatility forecasting: Evidence from the China stock market

Journal of Forecasting, 2023
Chien-chiang Lee, Chi-Chuan Lee
exaly  

Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?

Finance Research Letters, 2020
Yuan-Teng Hsu, Jying-Nan Wang, Hung-Chun Liu   +2 more
exaly  

Carbon trading volume and price forecasting in China using multiple machine learning models

Journal of Cleaner Production, 2020
Mohammadamin Azimi, Hongfang Lu
exaly  

Trading from home: The impact of COVID-19 on trading volume around the world

Finance Research Letters, 2020
Mardy Chiah, Angel Zhong
exaly  

Ex-dividend day price and volume: the case of cum-ex trading

Applied Economics, 2023
Xiaopeng Wei
exaly