4 ms·
increased amount of trading typically increases volatility. Define amount. If you mean number of trades, then the effect is decreased standard deviation if the
by krona 6y ago
increased amount of trading typically increases volatility.
Define amount. If you mean number of trades, then the effect is decreased standard deviation if the average trade is smaller as a percentage of total market capitalisation. That seems completely logical.
See: pretty much every study in to HFT.
- beefield 6y agoTrading volume. It was taught to me so long time ago and I have thought it so obviously true that I haven't questioned it ever. If you want sources, here is one example (TBH, I only read abstract) I quickly googled. To me, number of trades does not sound a reasonable measure for analyzing markets in macro level, even if for HFT it may be interesting, I know nothing about that. https://core.ac.uk/download/pdf/4837179.pdf https://core.ac.uk/download/pdf/4837179.pdf