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The Intraday Analysis of Volatility, Volume and Spreads : A Review with Applications to Futures Markets
Fantazzini, Dean - 2011
of volatility, volume and spreads. We review the main econometric models used for volatility analysis in an intraday …
Persistent link: https://www.econbiz.de/10013130773
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The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market
Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119
Persistent link: https://www.econbiz.de/10009563064
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Factors effecting trading volume : a test of mixed distribution hypothesis
Ananzeh, Izz Eddien Naif - In: International journal of financial research 6 (2015) 4, pp. 207-216
Persistent link: https://www.econbiz.de/10011405503
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Nonstationarity of the intraday individual and collective seasonalities of price fluctuations
Queirós, Sílvio M. Duarte; Graczyk, Michelle B. - In: The journal of network theory in finance 3 (2017) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10011668579
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Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: June 28, 2017
It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...
Persistent link: https://www.econbiz.de/10011673153
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Multivariate information dynamics between prices and futures trading volume
Hodgson, Allan; Masih, Abdul Mansur M.; Masih, Rumi - 1998
Persistent link: https://www.econbiz.de/10000992991
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Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020
Persistent link: https://www.econbiz.de/10012494219
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …
Persistent link: https://www.econbiz.de/10003634717
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10003727640
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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus (contributor);  … - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …
Persistent link: https://www.econbiz.de/10003727673