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Feb
29
accepted local price return and volume relationship
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awarded  Scholar
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.
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.
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.
Feb
26
revised local price return and volume relationship
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26
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26
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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?
Dec
18
revised How to account for market movement when some exchanges are closed?
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Dec
18
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Dec
18
revised How to account for market movement when some exchanges are closed?
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Dec
18
answered How to account for market movement when some exchanges are closed?
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26
awarded  Teacher
Nov
26
answered Free paper trading site with an API