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Questions tagged [volume]

The tag has no usage guidance.

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69 views

Derivative of the stock price and volume at time t

According to Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data at page 9, I would be interested in deriving the the price (ask and bid ...
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0answers
69 views

How rapidly should estimated volatility and volume change for estimating market impact in small markets?

The cost of market impact is usually modeled as: $$ \Delta{P} = \delta \sigma (\frac{Q}{V})^{1/2} $$ Where: $ \Delta{P} $ is the change in price of the asset caused by the transaction size $Q$ $\...
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1answer
48 views

Filter options used in the construction of implied volatility surface

Currently trying to model the IV Surface using the APPL options, to compare how different models of the underlying move the IV Surface. However, after getting the data, I've seen that some option ...
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2answers
155 views

Bulk Volume Classification Algorithm

I'm thinking of implementing the Bulk Volume Classification algorithm on my data of hourly OHLC bars and associated volume, but my sense of it is that hourly granularity is insufficient and that ...
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1answer
178 views

Is Yahoo finance volume written in shares per day or $ value per day? [closed]

Unfortunately, the Yahoo finance website does not mention any units for the data listed. Is the volume for each stock written in shares per day or in $ value per day?
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4answers
177 views

Why not break the volume every day into buy and sell volumes?

In stock trading softwares, the volumes underneath the candlestick chart of stock prices are typically marked by one color, either green (buy volume) or red (sell volume), depending on if the closing ...
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1answer
224 views

Is the historical volume data from Yahoo-Finance adjusted for splits?

I have been looking for an answer on the Internet for this question for a while, but I could not find anything. I understand that the price data of the historical data from Yahoo-Finance is adjusted ...
1
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1answer
86 views

Estimate intraday trading and $ volume

UPDATE With Questrade, I can get the usual data from their API, i.e. symbol, bidPrice, bidSize, askPrice, askSize, lastTradeTrHrs, lastTradePrice, lastTradeSize, lastTradeTick, volume, openPrice, ...
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0answers
37 views

Transform 24hr cumulative volume to sampled periods

I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price. The time is the time at which the data was received from the exchange, price is the last price ...
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0answers
47 views

Calculating total market price of security

Typically securities trade on a primary exchange and as such the 'price' of that security is quoted from the primary exchange. For example Exxon (XOM) stock is listed on the NYSE, even though there ...
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0answers
301 views

What is the proportion of aggressive orders vs passive orders executed by different types of traders?

It's clear that each aggressive order (or market order or limit crossing BBO) is matched against the same volume of resting limit order(s). I'm interested in statistics per different types of ...
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1answer
387 views

How to adjust trading volume based on stock splits?

Does anyone know how to adjust trading volume based on stock splits? Here is an example of ANA (9202.T) on 2017-09-27. A stock split happened with factor 1:10. <...
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1answer
274 views

Relation between price changes and trading volume (market impact)

It is quite a well-know phenomenon that trading volume has an impact on a stock price: the more you buy the higher is a price because of demand increment. I'm wondering about models that can describe ...
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1answer
308 views

Normalise daily trading volume/value

How to normalise daily trading volume and trading value as features for RNN model of stock time series? The immediate answer could be: taking the global min/max, mean/std for each stock across the ...
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0answers
71 views

Discrepancy in stock volume amounts at Yahoo, Google, Stock Market Watch and the official website of a company

I have a question regarding differing stock volume amounts for a specific stock reported on various financial websites. For example, let's take a look at Lockheed Martin's volume amount at 12-12-2016. ...
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2answers
316 views

Extract Corporate Bond volume

Is it possible to extract the volume of Corporate bonds in Bloomberg with BDP, BDH or BDS function ? Example : 958254AC8 Corp; 98389BAM2 Corp; 94974BFP0 Corp. Doesn't seem like it's possible, even if ...
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4answers
5k views

Which database to choose for storing and aggregating finance data?

I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this: Every tick (or second) data will be grouped by period (1,5,10 minutes; ...
3
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1answer
162 views

volume-returns cross correlation interpretation

I want to find the relationship between volume and price returns in the S&P500. My first thought was to run a cross correlation in order to find who leads and who lags in the relation. It´s my ...
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2answers
172 views

Why is volume a totally independent variable from price?

In Martin Pring's book "Technical analysis explained", when talking about volume, he asserts that it is "a totally independent variable from price" Why is this?
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1answer
124 views

Volume or Volatility?

I've recently been given a project which came with some documentation. In this documentation is a bullet point that reads: Liquidity Risk in Equity, Credit and Vol I'm unsure as to whether vol is ...
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1answer
90 views

Why is the volume of a product like SHV so high?

The ETF SHV has not moved much in the last five years. How is it that its volume is as high as 583609?
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2answers
235 views

VIX Futures data: why happen to have settle price > 0 and Volume = O.I. = 0

This question is about something observed hands on data that makes me a little confused. Consider the term structure of futures on VIX of Monday, December 27, 2010. You can find it at the CFE market ...
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2answers
70 views

Importing daily data: '-1' in volume column

I am working on importing some daily data from a public data source as csv format. The csv convention of the file seems to be that if data is not available for a field, a single white space is used ...
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0answers
98 views

Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
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1answer
64 views

Risk-free arbitrage given a volume oracle?

Given a magical oracle who can correctly predict the volume, but not the price, of a given security, does there exist a risk-free arbitrage to capitalize on this information?
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1answer
912 views

Do intraday volume and volatility share the same properties?

volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it ...
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3answers
730 views

Estimate reasonable trade sizing based on daily volume

Let's assume we have data for daily volumes traded on some asset (and open interests as well). Now if we are planning to make a trade we don't want to fat-finger it and want it to be of a reasonable ...
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3answers
346 views

Estimate of fx trading volume

I understand that there are no official figures of fx trading volume per currency, but are there any good estimates? Is there any fx exchange that is particularly forthcoming with its volume data, ...
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2answers
571 views

Forcing price to rise or fall by high volume buying and shorting

Is there an a name for the approach / strategy to artificially move a price either up or down by high volume buying or shorting. ie. Buying a large (say 5%) of a stock very quickly, thus ...
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2answers
3k views

What are common methods for modeling intraday trading volume?

What are the most common ways to model intraday trading volume, particularly for futures contracts? There are obviously a number of seasonal-type factors, like roll, economic news releases, time of ...
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1answer
769 views

How to compute the volume of an index from the volume of its constituents?

I'm trying to understand how to compute the daily volumes of the Dow Jones Industrial Average but I haven't found the proper formula yet. I thought it was the sum of the price*volume of each ...
2
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2answers
179 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.
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2answers
282 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 ...
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3answers
672 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 ...
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3answers
229 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 ...
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2answers
400 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 ...
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1answer
404 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 ...
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2answers
900 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 ...
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1answer
1k 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 ...