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Trade size, order imbalance, and the volatility–volume relation · Study

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ArticleTrade size, order imbalance, and the volatility–volume relation

Kalok Chan2000

Article2000

Trade size, order imbalance, and the volatility–volume relation

Kalok Chan · Wai‐Ming Fong

416 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1985Continuous Auctions and Insider Trading 1989Why Does Stock Market Volatility Change Over Time?1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1987The Relation Between Price Changes and Trading Volume: A Survey 1987Price, trade size, and information in securities markets 1993Differences of Opinion Make a Horse Race 1988Estimating the components of the bid/ask spread

Cited by

2013The Price Impact of Order Book Events 2015Price discovery on Bitcoin exchanges 2001Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards 2013Modeling and predicting the CBOE market volatility index 2006The Impact of Trades on Daily Volatility 2014What's Not There: Odd Lots and Market Data 2016

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Year2000

Typearticle

Published2000-08-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations416

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0304-405x(00)00057-x

openalex_workW3121835406

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Can information be locked up? Informed trading ahead of macro-news announcements

2001Orderimbalance, Liquidity and Market Returns