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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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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
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author Graczyk, Michelle B.
Duarte Queirós, Sílvio M.
author_facet Graczyk, Michelle B.
Duarte Queirós, Sílvio M.
author_sort Graczyk, Michelle B.
collection PubMed
description 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 intraday statistical properties as well. Explicitly, we prove the well-known ∪-shape exhibited by the average trading volume—as well as the volatility of the price fluctuations—experienced a significant change from 2008 (the year of the “subprime” financial crisis) onwards. That has resulted in a faster relaxation after the market opening and relates to a consistent decrease in the convexity of the average trading volume intraday profile. Simultaneously, the last part of the session has become steeper as well, a modification that is likely to have been triggered by the new short-selling rules that were introduced in 2007 by the Securities and Exchange Commission. The combination of both results reveals that the ∪ has been turning into a ⊔. Additionally, the analysis of higher-order cumulants—namely the skewness and the kurtosis—shows that the morning and the afternoon parts of the trading session are each clearly associated with different statistical features and hence dynamical rules. Concretely, we claim that the large initial trading volume is due to wayward stocks whereas the large volume during the last part of the session hinges on a cohesive increase of the trading volume. That dissimilarity between the two parts of the trading session is stressed in periods of higher uproar in the market.
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spelling pubmed-50946672016-11-18 Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features Graczyk, Michelle B. Duarte Queirós, Sílvio M. PLoS One Research Article 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 intraday statistical properties as well. Explicitly, we prove the well-known ∪-shape exhibited by the average trading volume—as well as the volatility of the price fluctuations—experienced a significant change from 2008 (the year of the “subprime” financial crisis) onwards. That has resulted in a faster relaxation after the market opening and relates to a consistent decrease in the convexity of the average trading volume intraday profile. Simultaneously, the last part of the session has become steeper as well, a modification that is likely to have been triggered by the new short-selling rules that were introduced in 2007 by the Securities and Exchange Commission. The combination of both results reveals that the ∪ has been turning into a ⊔. Additionally, the analysis of higher-order cumulants—namely the skewness and the kurtosis—shows that the morning and the afternoon parts of the trading session are each clearly associated with different statistical features and hence dynamical rules. Concretely, we claim that the large initial trading volume is due to wayward stocks whereas the large volume during the last part of the session hinges on a cohesive increase of the trading volume. That dissimilarity between the two parts of the trading session is stressed in periods of higher uproar in the market. Public Library of Science 2016-11-03 /pmc/articles/PMC5094667/ /pubmed/27812141 http://dx.doi.org/10.1371/journal.pone.0165057 Text en © 2016 Graczyk, Duarte Queirós http://creativecommons.org/licenses/by/4.0/ This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Graczyk, Michelle B.
Duarte Queirós, Sílvio M.
Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features
title Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features
title_full Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features
title_fullStr Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features
title_full_unstemmed Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features
title_short Intraday Seasonalities and Nonstationarity of Trading Volume in Financial Markets: Individual and Cross-Sectional Features
title_sort intraday seasonalities and nonstationarity of trading volume in financial markets: individual and cross-sectional features
topic Research Article
url 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
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