Clements, Adam; Todorova, Neda - National Centre for Econometric Research (NCER) - 2014
There is a long history of research into the impact of trading activity and information on financial market volatility … has two objectives. It investigates the impact of shocks in trading activity and traders positions which are unrelated to … flow exhibiting the largest impacts. While volatility is also related to measures of trading activity, their influence …