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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 8 months |
| seen | Apr 26 at 20:01 | |
| stats | profile views | 16 |
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Feb 29 |
accepted | local price return and volume relationship |
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Feb 28 |
awarded | Scholar |
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Feb 27 |
comment |
local price return and volume relationship I just found myself some reading materials, Tauchen and Pitts 1983 and articles (1,2) based on Karpoff, 1987. |
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Feb 27 |
comment |
local price return and volume relationship Thank you for the answer. I am assuming when you say daily returns are high, you actually mean daily returns are volatile. If so, I agree with the first part of your statement. But can you elaborate on the second part? How is high/volatile returns explained by volume autocorrelation? I'm a bit lost. |
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Feb 26 |
comment |
local price return and volume relationship For now, I think these plots demonstrate that when volume is high, the distribution of the price return has a fatter tail, and this fat tail persists for the following day. |
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Feb 26 |
revised |
local price return and volume relationship added 24 characters in body |
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Feb 26 |
awarded | Student |
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Feb 26 |
asked | local price return and volume relationship |
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Feb 5 |
awarded | Supporter |
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Dec 19 |
comment |
How to account for market movement when some exchanges are closed? From what I understand, you wanted to be able to predict or adjust the opening price base on other market close and news occurred pre-market? |
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Dec 18 |
revised |
How to account for market movement when some exchanges are closed? added 2 characters in body |
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Dec 18 |
awarded | Editor |
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Dec 18 |
revised |
How to account for market movement when some exchanges are closed? added 4 characters in body |
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Dec 18 |
answered | How to account for market movement when some exchanges are closed? |
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Nov 26 |
awarded | Teacher |
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Nov 26 |
answered | Free paper trading site with an API |
