# Tag Info

## Hot answers tagged volume

10

This is called momentum ignition, and it is illegal. Any "manipulative" behaviour is illegal. I quote the SEC: Manipulation is intentional conduct designed to deceive investors by controlling or artificially affecting the market for a security. Manipulation can involve a number of techniques to affect the supply of, or demand for, a stock. They include: ...

9

The best paper is probably Relative Volume as a Doubly Stochastic Binomial Point Process - James Mcculloch. In this paper the volume is modelled via a Point Process, and theoretical laws are derived (with confident intervals, etc). And we put elements about this in Market Microstructure in Practice, Chap 2.1. Volume curves are analyzed, not only during the ...

9

GARCH will work if volume has memory with some decay. AR will work if volume has mean reversion properties. Both of these are empirical questions and depend on the market. You should also consider if there are seasonal (day-of-week, monthly, quarterly effects) in which case you would want to add dummy variables. MA models will work well if volume behaves ...

6

From your comments I have deciphered that what you actually want to know is what the maximum amount of size is that you can trade at any time. Holding aside exchange irregularities, the answer to this is the total amount of size on one side of the book in the direction that you want to trade (e.g. bid side if you want to sell), at the time that you want to ...

6

In fact if you make the time change $$t\rightarrow \int_{\tau\leq t} V_\tau d\tau$$ a TWAP is a VWAP. So just define the FWAP associate to a transform F: (you should ask to F to be an adapted stochastic process if you want to use models) $$t\rightarrow \int_{\tau\leq t} F(\tau) d\tau$$ You will have a new benchmark. The real question is "what do you ...

5

The volume reported for the DJIA is the sum of the volumes (in shares) of the individual components, including trades executed on their respective primary markets only. For the 23rd of August, it looks like: Ticker Exchange Shares Traded MMM New York 496,789 AA New York 2,400,280 AXP New York 613,379 T New York 4,...

5

Pring was (probably) simply referring to the fact that most indicators are function of price -- lots of different ways to twist and contort prices to define trends, reversal points, etc. Volume is another parameter entirely, as it doesn't depend on price; the market or share price can have an up day on average, high, or low volume, it can have a down day on ...

3

Firstly, Volume doesn't equal movement. The best thing is to look at what it represents. SHV is the iShares Short Treasury Bond ETF. This means it tracks short-term treasury bonds. Many forms of balanced portfolios require some portion of funds in bonds. This ETV is an easy vehicle to get fractional exposure to bonds. As far as "has not moved much" is ...

3

The settlement price is provided by the exchange, it doesn't contradict with the fact that the contract wasn't traded. It's a theoretical price calculated by the appropriate models. In many cases, especially outside of US where there is no continuous market making, the exchange will provide a settlement price for a futures or options contracts in the end of ...

3

What you refer to is called Layering, this is absolutely forbidden on every market as you would volontarily send misleading signal as to volume and then price. Regulators have been fining people A LOT recently for such market manipulations as they are obvious. Do not attempt to do such things !

3

From my point of view, dynamic models like the one developped in Relative Volume as a Doubly Stochastic Binomial Point Process - James Mcculloch to provide a dynamic forecast of the volume does not improve significantly the forecasting comparing to a static volume curve forecast using historical data (last month intraday data, and an EWMA algorithm). I've ...

3

I deal recently with some analysis of the Volume time series, daily volume in € for European stocks. I found out that an ARIMA model works well. But, some EWMA could also provide good forecast if it's well parameterized. You can also face some seasonality effect due to macroeconomic events, some you may need to clean you data and treat these days in a ...

3

When volatility is high, daily volume is high. And when volatility is high, daily returns are high. That's why when volume is high, the price returns are high. Volatility (like volumes) is autocorrelated. This is the phenomenon of volatility clustering (large changes tend to be followed by large changes, of either sign) and volume clustering (large volumes ...

3

Actually your question englobes many questions. In my opinion, you shouldn't only focus on the total volume you're going to execute on a specific day, but also on how you're going to split it into meta-orders(orders of small amounts) all over the day. You need to have: A model for daily volume (which i think is what are you looking for, then an ARIMA(3-5,...

2

You are referring to the Penny Pilot Program. Only options whose premiums are quoted at a price less than \\$3 may be eligible for penny increments, except for IWM, QQQ, and SPY, which are always quoted in pennies. The list of permitted classes doesn't seem to come from specific volume criteria. Instead, the SEC and the exchanges together roll-out names in ...

2

"does the underlying usually see increased trading?" Not necessarily. Most market makers do not re-hedge much in the underlying. In many markets the delta is exchanged (off-exchange) alongside the options trade at initiation, making both parties delta neutral at the outset. Re-hedges in large vol books are generally accomplished through other options and ...

2

Try the following : perform the logarithmic transformation of the volume data. check if the transformed data fits the normal distribution nicely. if you are working with intraday volume, then adjust for the seasonality for time of the day effect, if using daily data, in some cases some special seasonalities like expiry day, etc might be applied but it may ...

2

Not to over simplify, but there is the different scaling to consider here as well. Volumes and volume changes are observed in 1000s and 100s, while prices and price changes are observed in 100s and 1s. For most medium and smaller stocks prices and price changes are observed in 1s and 0.01s. Clarify this through the identity Var(aX) = a²Var(X). Since the ...

2

The technical analysis point of view: an increase in volume (assuming the price has been in a downtrend) means the crowd are throwing in the towel, i.e. everyone is dumping the stock and assuming that hoped-for rise is now never going to happen. The same on the way up: everyone jumps on the bandwagon. In other words, high volume typically means crowd ...

2

First: once you will have your liquidity indicator, you will need to know if the signal is worth the risk to go faster (or slower if it is a negative signal). Impulse control will tell you that: http://www.ceremade.dauphine.fr/~bouchard/pdf/BML09.pdf Optimal control of trading algorithms: a general impulse control approach, by Bruno Bouchard, Ngoc Minh Dang, ...

2

You must look at passive volumes available on certain levels in orderbook, that feature is called market depth. There is a possibility that daily volume is correlated somehow with depth on market levels around a price, but I think you must gather some data and model that relationship when you want do that in this way.

2

No, because the volume does not indicate the price change. E.g. the price change might net to zero over all times.

2

CFE calculates settlement price from quotes whether there was trading or not. "The daily settlement price for each VIX futures contract will be the average of the final bid and final offer for the VIX futures contract at the close of trading." CFE rule 1202(p) http://cfe.cboe.com/publish/cferulebook/cferulebook.pdf

1

As @Nicholas said in a comment KX/KDB+ is popular in finance for this purpose. Direct message passing and local aggregation on the machine may be the best method in this case IMO.

1

The direction of the relationship cannot be determined from just this information (a set of correlation coefficients). You need to estimate a model of volume based on lagged volume and lagged returns, checking if the lagged return terms are significant. Then as a second step you estimate a model of returns that includes past returns and past volumes and see ...

1

Without knowing more about the data, the security was probably halted. Is the pricing staled day over day? More info would be good.

1

The relation between volume and the price dynamics (via volatility and jumps), has been explored by various academic papers. Just cite this one and its contained references: Wang, T., & Huang, Z. (2012). The relationship between volatility and trading Volume in the Chinese Stock Market: A volatility decomposition perspective. Annals of Economics and ...

1

This blog entry has graphs of the major ECN and CLS volumes - it has the data you are looking for. Suggest you ask the author where the data comes from (there is a contact button). http://www.marketfactory.com/the-missing-billions/

1

Nearly every options trader - and every options marketmaker - will hedge their derivatives exposure by trading the underlying. So even if I buy a set of naked calls, my counterparty (e.g. whoever is writing me the options, usually a hedge fund or a bank) will have negative exposure to the stock and buy it to cancel out their risk. Think of an option as ...

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