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Volatility–Trading volume intraday correlation profiles and its nonstationary features

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  • Graczyk, Michelle B.
  • Duarte Queirós, Sílvio M.

Abstract

We analyse the statistical properties of volatility–volume cross-correlation matrices of stocks composing the DowJones Industrial Average since 2003. Using different definitions of volatility, we verify there is an intraday profile where the average values of the entries significantly increase from the opening of the trading session until its midway and it dwindles therefrom afterwards. Higher-order moments of the correlation matrix are studied and exhibit intraday profiles as well. Within the scope of the (endless) discussion “Mixture of Distributions versus Sequential Information Arrival” our results allow us to assert that both seem to be relevant in different parts of the business day.

Suggested Citation

  • Graczyk, Michelle B. & Duarte Queirós, Sílvio M., 2018. "Volatility–Trading volume intraday correlation profiles and its nonstationary features," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 28-34.
    • Handle: RePEc:eee:phsmap:v:508:y:2018:i:c:p:28-34
    DOI: 10.1016/j.physa.2018.05.066
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    References listed on IDEAS

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    1. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
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