Trade size, order imbalance, and the volatility–volume relation
✍ Scribed by Kalok Chan; Wai-Ming Fong
- Book ID
- 114221154
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 182 KB
- Volume
- 57
- Category
- Article
- ISSN
- 0304-405X
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📜 SIMILAR VOLUMES
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
## Abstract In the empirical literature, it has been shown that there exists both linear and non‐linear bi‐directional causality between trading volumes and return volatility (measured by the square of daily return). We re‐examine this claim by using realized volatility as an estimator of the unobs