This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as...

The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By means of a suitably defined normalized order imbalance...

Cover -- Contents -- Author's Declaration -- Foreword -- A Personal Note to All Novice Traders -- Part I: Demystifying Stock Markets -- Chapter 1: The Enigma of Stock Markets -- Chapter 2: The Stock Exchange Club -- Chapter 3: The Stockbroking Firm -- Chapter 4: Investments and Shareholders --...