Theoretical and empirical analysis of trading activity.
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ABSTRACT:
SUBMITTER: Pohl M
PROVIDER: S-EPMC7319296 | biostudies-literature | 2020
REPOSITORIES: biostudies-literature
Publications
Theoretical and empirical analysis of trading activity.
Pohl Mathias M Ristig Alexander A Schachermayer Walter W Tangpi Ludovic L
Mathematical programming 20181026 2
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades <i>N</i>, the traded volume <i>V</i>, the asset price <i>P</i>, the squared volatility σ2 , the bid-ask spread <i>S</i> and the cost of trading <i>C</i>. Different reasonings result in simple proportionality relations ("scaling laws") between these variables. A basi ...[more]
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