Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features

We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we provide a quantitative account of the nonstationary nature of the...

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Detalles Bibliográficos
Autores principales: Graczyk, Michelle B., Duarte Queirós, Sílvio M.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2016
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5094667/
https://www.ncbi.nlm.nih.gov/pubmed/27812141
http://dx.doi.org/10.1371/journal.pone.0165057