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Using intraday data, are there certain measures that exist for measuring the "activity" of a particular instrument. By intraday data I mean, all changes to the limit order book (trades, adds, cancels, etc.), tick by tick.

For example, let's say on any average day, this "measure of activity" for Apple stock would be relatively similar, but on a day where Apple is making an earnings release or some big event, I'd expect there to be more trading activity (maybe more adds/cancels, etc.) .

Are there any particular measures that can help me determine this?

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There is an interesting literature about volume weighted duration. The idea is to measure the activity of a market by measuring the time necessary to exchange a fix amount of stocks. This can be seen as a measure of intra-day activity.

You can have a look to these papers :

These models are generally based on Autoregressive Conditional durations models (ACD), see the following excellent survey to get an overview :

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  • $\begingroup$ These are nice, but before getting deep into the papers, I wanted to know if there were measures that were more standard or simpler. $\endgroup$ – guy Oct 13 '17 at 15:40

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