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Statistical properties of trading volume depending on size

✍ Scribed by Maria Pasquale; Roberto Renò

Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
350 KB
Volume
346
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

✦ Synopsis

By analyzing high frequency data of transactions on the Italian stock index futures, we show that the statistical properties of average volume depend on the size of transactions, defined as the number of contracts transacted in a single operation. In particular, we find that large transactions are less correlated with market volatility and display a longer memory.

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