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Financial factor influence on scaling and memory of trading volume in stock market
Financial facto trading volume stock market
2011/9/13
We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989–2008 and analyze the time return intervals between volume volatilities above a given th...
Modeling interaction of trading volume in financial dynamics
Trading Market Microstructure Data Analysis Statistics Probability Physics Society
2010/12/16
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its...
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Crashes Trading volume Skewness
2014/3/18
We develop a series of cross-sectional regression specifications to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experien...