Roll, Richard; Schwartz, Eduardo; Subrahmanyam, Avanidhar - In: Journal of Empirical Finance 28 (2014) C, pp. 13-35
Little is known about the joint dynamics of volume across the various contingent claims on the equity market. We study the time-series of trading activity in the cash S&P 500 index and its derivatives (options, the legacy and E-mini futures contracts, and the ETF), and consider their dynamic...