Gopikrishnan, Parameswaran; Plerou, Vasiliki; Gabaix, Xavier - arXiv.org - 2000
We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval $\Delta t$. We analyze transaction data for the largest...