There's more to volatility than volume

Journal article

It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a smal...

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Authors: Gillemot, L; Farmer, J; Lillo, F

• Journal: Quantitative Finance
• Volume: 6
• Issue: 5
• Pages: 371-384
• Publication date: 2006-01-01
• Keywords: Volume; Financial markets; Subordinated processes; Volatility