| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9728011 | Physica A: Statistical Mechanics and its Applications | 2005 | 11 Pages |
Abstract
By analyzing high frequency data of transactions on the Italian stock index futures, we show that the statistical properties of average volume depend on the size of transactions, defined as the number of contracts transacted in a single operation. In particular, we find that large transactions are less correlated with market volatility and display a longer memory.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Maria Pasquale, Roberto Renò,