Trading imbalances reflect the quality of market information and may contain more information than the number of trades or trading volume. In order to better understand how trading imbalances play a role different from traditional variables (i.e., number of trades and trading volume) in explaining v
Return Volatility, Trading Imbalance and the Information Content of Volume
β Scribed by Chunchi Wu; Xiaoqing Eleanor Xu
- Book ID
- 110262677
- Publisher
- Springer US
- Year
- 2000
- Tongue
- English
- Weight
- 134 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0924-865X
No coin nor oath required. For personal study only.
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## Abstract This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are ex
## Abstract In the empirical literature, it has been shown that there exists both linear and nonβlinear biβdirectional causality between trading volumes and return volatility (measured by the square of daily return). We reβexamine this claim by using realized volatility as an estimator of the unobs