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Statistical properties of trading volume depending on size

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  • Pasquale, Maria
  • Renò, Roberto

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.

Suggested Citation

  • Pasquale, Maria & Renò, Roberto, 2005. "Statistical properties of trading volume depending on size," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 518-528.
    • Handle: RePEc:eee:phsmap:v:346:y:2005:i:3:p:518-528
    DOI: 10.1016/j.physa.2004.08.003
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    Cited by:

    1. Pirino, Davide, 2009. "Jump detection and long range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1150-1156.

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    Keywords

    Volume; Volatility; Long memory;
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