Trading volume in financial markets: An introductory review

Sílvio M. Duarte Queirós

Chaos, Solitons & Fractals, 2016, vol. 88, issue C, 24-37

Abstract: In this article, I introduce a short review on the statistical and dynamical properties of the high-frequency trading volume and its relation to other financial quantities such as the price fluctuations and trading value. In addition, I compare these results — which were obtained within the framework of applications of Physics to quantitative financial analysis —with the mainstream financial hypotheses of mixture of distributions (MDH) and sequential arrival of information (SIAH).

Keywords: Trading volume; Quantitative finance; Econophysics; Complex systems; MDH; SIAH (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:88:y:2016:i:c:p:24-37

DOI: 10.1016/j.chaos.2015.12.024

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