Trading volume and the number of trades

Preprint OPEN
Marwan Izzeldin;
(2007)
  • Subject: Trading volume, number of trades, realized volatility, GARCH volatility, Mixture of distribution hypothesis

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... View more
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    12 references, page 1 of 2

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