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The real side of the high-volume return premium

Israeli, Doron; Kaniel, Ron; Sridharan, Suhas A. - In: Management science : journal of the Institute for … 68 (2022) 2, pp. 1426-1449

Persistent link: https://www.econbiz.de/10012887605

Handelsvolumen auf Aktienmärkten : Univariate Analysen und kontemporäre Rendite-Mengen-Beziehungen

Mestel, Roland (contributor) - 2008

Statistische Eigenschaften von Handelsvolumina auf Aktienmärkten -- Theoretische Analysen zur Rolle des Handelsvolumens auf Aktienmärkten -- Kontemporärer Zusammenhang zwischen Aktienrenditen und Handelsvolumina -- Ereignisinduzierte Marktreaktionen: Preis- und Volumenseffekte am Beispiel von...

Persistent link: https://www.econbiz.de/10013516987

An optimal control strategy for execution of large stock orders using long short-term memory networks

Papanicolaou, Andrew; Fu, Hao; Krishnamurthy, Prashanth; … - In: The journal of computational finance 26 (2023) 4, pp. 37-65

Persistent link: https://www.econbiz.de/10014342063

The more we know, the less we agree : a test of the trading horizon heterogeneity theory

Dai, Lili; Parwada, Jerry T.; Winchester, Donald W.; … - In: The financial review : the official publication of the … 57 (2022) 1, pp. 45-67

Persistent link: https://www.econbiz.de/10012819499

Institutional investor participation and stock market anomalies

Shu, Tao - In: Journal of business finance & accounting : JBFA 40 (2013) 5/6, pp. 695-718

Persistent link: https://www.econbiz.de/10009789586

Stock returns and trading volume : does size matter?

Assan, Azhar; Thomas, Sony - In: Investment management and financial innovations 10 (2013) 3, pp. 76-88

Persistent link: https://www.econbiz.de/10010201507

Stock return volatility and trading volume relationships captured with stable Paretian GARCH and Threshold GARCH models

Naka, Atsuyuki; Oral, Ece - In: Journal of business & economics research 11 (2013) 1, pp. 47-52

Persistent link: https://www.econbiz.de/10009726502

Initial public offerings and investor heterogeneity : evidence from Malaysia

Low, Soo Wah; Othman Yong - In: American journal of finance and accounting 3 (2013/14) 1, pp. 41-56

Persistent link: https://www.econbiz.de/10010403323

Adaptive order flow forecasting with multiplicative error models

Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher - 2014

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

Persistent link: https://www.econbiz.de/10010374563

Securities transaction tax-case study of India

Malik, Neha - 2014

Security Transaction Tax (STT) was introduced in the Indian capital market in 2004. It is a tax on transaction of equities as well as their derivatives. Despite the reduction in STT over the years, it constitutes a large percentage (next only to brokerage fee) of the total cost of trading. The...

Persistent link: https://www.econbiz.de/10010354157