6
votes
0answers
245 views

Do intraday volume and volatility share the same properties?

volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it ...
3
votes
3answers
206 views

Why in general is the variance of volume changes higher than variance of price changes?

Why, in general, is the variance of volume changes higher than variance of price changes? I understand that these two quantities are functions of some very different factors, but I don't understand ...