Statistical properties of trading volume depending on size

By analyzing high frequency data of transactions on the Italian stock index futures, we show that the statistical properties of average volume depend on the size of transactions, defined as the number of contracts transacted in a single operation. In particular, we find that large transactions are less correlated with market volatility and display a longer memory.

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Year of publication:	2005
Authors:	Pasquale, Maria ; Renò, Roberto
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 346.2005, 3, p. 518-528
Publisher:	Elsevier
Subject:	Volume \| Volatility \| Long memory

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011062118