Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used,...

In this paper, two tests for weak exogeneity in the econometric modelling of financial point processes are proposed. They are motivated by the common practice in many econometric studies of tick-by-tick data of making inference on the joint density of durations and marks through the conditional...

This paper examines the dynamic relationship of volatility and trading volume using a bivariate vector autoregressive methodology. This study found bidirectional causal relations between trading volume and volatility, which is in accordance with sequential information arrival hypothesis that...