A study of the lead-lag relationship between price change and trading volume in futures market using high-frequency data
Denise W. Streeter (Howard University, Washington, DC, USA), Mohammad Najand (Old Dominion University, Constant Hall, Norfolk, VA, USA), V. Reddy Dondeti (Norfolk State University, Norfolk, VA, USA), James E. Benton (Shippensburg University, Shippenburg, PA, USA)
| Year of publication: |
2015
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|---|---|
| Authors: | Streeter, Denise W. ; Najand, Mohammad ; Dondeti, V. Reddy ; Benton, James E. |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 1.2015, 4, p. 284-301
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| Subject: | futures market | high-frequency data | S&P 500 index futures | price change | trading volume | return volatility | derivatives | Volatilität | Volatility | Derivat | Derivative | Index-Futures | Index futures | Börsenkurs | Share price | Handelsvolumen der Börse | Trading volume | Warenbörse | Commodity exchange | Finanzmarkt | Financial market | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011546737