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Trading volume in financial markets: An introductory review

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  • Duarte Queirós, Sílvio M.

Abstract

In this article, I introduce a short review on the statistical and dynamical properties of the high-frequency trading volume and its relation to other financial quantities such as the price fluctuations and trading value. In addition, I compare these results — which were obtained within the framework of applications of Physics to quantitative financial analysis —with the mainstream financial hypotheses of mixture of distributions (MDH) and sequential arrival of information (SIAH).

Suggested Citation

  • Duarte Queirós, Sílvio M., 2016. "Trading volume in financial markets: An introductory review," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 24-37.
    • Handle: RePEc:eee:chsofr:v:88:y:2016:i:c:p:24-37
    DOI: 10.1016/j.chaos.2015.12.024
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    References listed on IDEAS

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    1. Damien Challet & Ahmed Bel Hadj Ayed, 2014. "Do Google Trend data contain more predictability than price returns?," Papers 1403.1715, arXiv.org.
    2. Paulo Rocha & Frank Raischel & Jo~ao P. Boto & Pedro G. Lind, 2015. "Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations," Papers 1510.07280, arXiv.org.
    3. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    4. Armand Joulin & Augustin Lefevre & Daniel Grunberg & Jean-Philippe Bouchaud, 2008. "Stock price jumps: news and volume play a minor role," Papers 0803.1769, arXiv.org.
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    Cited by:

    1. Michelle B Graczyk & Sílvio M Duarte Queirós, 2017. "Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-23, July.

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