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Trading volume and the number of trades: a comparative study using high frequency data

Research output: Working paper

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Trading volume and the number of trades: a comparative study using high frequency data. / Izzeldin, Marwan.
Lancaster University: The Department of Economics, 2007. (Economics Working Paper Series; Vol. 2007, No. 14).

Research output: Working paper

Harvard

Izzeldin, M 2007 'Trading volume and the number of trades: a comparative study using high frequency data' Economics Working Paper Series, no. 14, vol. 2007, The Department of Economics, Lancaster University.

APA

Izzeldin, M. (2007). Trading volume and the number of trades: a comparative study using high frequency data. (Economics Working Paper Series; Vol. 2007, No. 14). The Department of Economics.

Vancouver

Izzeldin M. Trading volume and the number of trades: a comparative study using high frequency data. Lancaster University: The Department of Economics. 2007. (Economics Working Paper Series; 14).

Author

Izzeldin, Marwan. / Trading volume and the number of trades : a comparative study using high frequency data. Lancaster University : The Department of Economics, 2007. (Economics Working Paper Series; 14).

Bibtex

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title = "Trading volume and the number of trades: a comparative study using high frequency data",
abstract = "Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restrictions, regression analysis of volatility on volume and trades, normality of returns when standardized by volume and number of trades, and Correlation analysis using volatility generated from GARCH and realized volatility. Our results show that the number of trades is the better proxy for market activity.",
keywords = "Trading volume, number of trades, realized volatility, GARCH volatility, Mixture of distribution hypothesis",
author = "Marwan Izzeldin",
year = "2007",
language = "English",
series = "Economics Working Paper Series",
publisher = "The Department of Economics",
number = "14",
type = "WorkingPaper",
institution = "The Department of Economics",

}

RIS

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N2 - Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restrictions, regression analysis of volatility on volume and trades, normality of returns when standardized by volume and number of trades, and Correlation analysis using volatility generated from GARCH and realized volatility. Our results show that the number of trades is the better proxy for market activity.

AB - Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restrictions, regression analysis of volatility on volume and trades, normality of returns when standardized by volume and number of trades, and Correlation analysis using volatility generated from GARCH and realized volatility. Our results show that the number of trades is the better proxy for market activity.

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KW - realized volatility

KW - GARCH volatility

KW - Mixture of distribution hypothesis

M3 - Working paper

T3 - Economics Working Paper Series

BT - Trading volume and the number of trades

PB - The Department of Economics

CY - Lancaster University

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