Journal ArticleDOI
Intraday Variability and Trading Volume: Evidence from National Stock Exchange
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In this paper, the authors investigate patterns in returns, volume and volatility and analyse the volume-return relationship using tick-by-tick data from the Indian equity market, based on descriptive mea...Abstract:
In this article, we investigate patterns in returns, volume and volatility and analyse the volume–return relationship using tick-by-tick data from the Indian equity market. Based on descriptive mea...read more
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Proceedings ArticleDOI
Influence of Time on Efficiency of Indian Capital Markets: Proposition of a Recommendation Engine
TL;DR: In this paper , the authors investigate the influence of the time on the efficiency of Indian capital markets and propose a recommendation engine that can assist as a feedback system for better investment actions and an efficient capital market.
Proceedings ArticleDOI
Influence of Time on Efficiency of Indian Capital Markets: Proposition of a Recommendation Engine
Gaurav Nagpal,Sarveshwar Kumar Inani,Ankita Nagpal,Ritik Gupta,Samyak Jain,Sanjana Khowal,Saurabh Shahdadpuri +6 more
TL;DR: In this article , the authors investigate the influence of the time on the efficiency of Indian capital markets and propose a recommendation engine that can assist as a feedback system for better investment actions and an efficient capital market.
Journal ArticleDOI
Analysis of trading volume and its use in prediction future price movements in the process of maximizing trading earnings
Jan Chutka,Filip Rebetak +1 more
TL;DR: In this paper, the authors explored the possibilities, methods and procedures of analysis of trading volumes and the possibilities of their use in maximizing earnings from trading of financial instruments using formal methods such as analysis and synthesis of theoretical findings and others.
References
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Journal ArticleDOI
Price, trade size, and information in securities markets*
David Easley,Maureen O'Hara +1 more
TL;DR: In this paper, the effect of trade size on security prices was investigated and it was shown that informed traders tend to trade larger amounts at any given price, and market makers' pricing strategies must also depend on trade size.
Journal ArticleDOI
A transaction data study of weekly and intradaily patterns in stock returns
TL;DR: In this paper, the authors examined weekly and intradaily patterns in common stock prices using transaction data and found that negative Monday close-to-close returns accrue between the Friday close and the Monday open; for smaller firms they accrue primarily during the Monday trading day.
Journal ArticleDOI
An Investigation of Transactions Data for NYSE Stocks
TL;DR: In this paper, the behavior of returns and characteristics of trades at the micro level is examined using transactions data, and a minute-by-minute market return series is formed and tested for normality and autocorrelation.
Journal ArticleDOI
A model of asset trading under the assumption of sequential information arrival
TL;DR: In this article, the authors analyzed asset trading in a world with sequential information arrival and showed that the expected number of trades generated by a given piece of new information depends on the number of individuals in the market and the strength of the new information, and the percentage of individuals who react by shifting their demand curves upward.
Journal ArticleDOI
The Dependence between Hourly Prices and Trading Volume
Prem C. Jain,Gun-Ho Joh +1 more
TL;DR: In this article, the authors provide evidence on joint characteristics of hourly common stock trading vol? ume and returns on the New York Stock Exchange, and show that the trading volume-returns relation is steeper for positive returns than for nonpositive returns.