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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2016
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| 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 |