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. (C) 2004 Elsevier B.V. All rights reserved.
Pasquale, M., Reno', R. (2005). Statistical properties of trading volume depending on size. PHYSICA. A, 346(3-4), 518-528 [10.1016/j.physa.2004.08.003].
Statistical properties of trading volume depending on size
Reno', Roberto
2005-01-01
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. (C) 2004 Elsevier B.V. All rights reserved.
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https://hdl.handle.net/11365/3993
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