Statistical properties of trading volume depending on size

Maria Pasquale and Roberto Renò

Physica A: Statistical Mechanics and its Applications, 2005, vol. 346, issue 3, 518-528

Abstract: 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.

Keywords: Volume; Volatility; Long memory (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:346:y:2005:i:3:p:518-528

DOI: 10.1016/j.physa.2004.08.003

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