The volume tag has no wiki summary.
0
votes
2answers
93 views
monthly contract volume required for penny increments?
Have the exchanges disclosed their criteria?
Does anyone have a best guess based upon observations of volume (however you wish to define it)?
Please no qualitative answers.
0
votes
2answers
86 views
changes in open interest vs changes in underlying volume
Has a relationship been noted?
Mostly, I'd like to know if the open interest increases on an underlying, does the underlying usually see increased trading?
My guess would be "yes" since MMs can ...
8
votes
1answer
275 views
What is a commonly accepted econometric model for volume?
What is the gold standard econometric model for volume? For example, a common model for price is the autoregressive (AR) model with GARCH(1,1) innovations. Do you know of any good survey articles ...
3
votes
3answers
184 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 ...
8
votes
2answers
462 views
Liquidity estimators: VWAP and IS
I am looking for some info on how to estimate liquidity (intraday). I have read some researches and created intraday measurements of liquidity on time yet not on price. What I mean by this is that I ...
4
votes
1answer
262 views
Is there any measure that is a non-trivial combination of VWAP and TWAP?
Is there any measure that is a non-trivial combination of VWAP and TWAP? For example:
\begin{equation}
\textrm{VTWAP} = \frac{\textrm{VWAP}+\textrm{TWAP}}{2}
\end{equation}
I'm thinking about ...
9
votes
2answers
308 views
local price return and volume relationship
I wanted to see how the stock price and volume relationship is locally.
So I tried ranking both the daily return (at day t) and volume (at day t) base on a 30 day rolling window with historical daily ...
6
votes
1answer
231 views
Can options volume have an impact on the price of the underlying asset?
Can options volume affect the underlying asset price indirectly? I know that options buying/selling does not directly affect the price of the underlying asset (rather, the asset price contributes most ...
