英文标题：
《Intraday Seasonalities and Nonstationarity of Trading Volume in
Financial Markets: Individual and Cross-Sectional Features》
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作者：
Michelle B Graczyk, Silvio M D Queir\\\'os
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最新提交年份：
2018
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英文摘要：
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we provide a quantitative account of the non-stationary nature of the intraday statistical properties as well. Explicitly, we prove the well-known U-shape exhibited by the average trading volume-as well as the volatility of the price fluctuations-experienced a significant change from 2008 (the year of the sub-prime financial crisis) onwards. That has resulted in a faster relaxation after the market opening and relates to a consistent decrease in the convexity of the average trading volume intraday profile. Simultaneously, the last part of the session has become steeper as well, a modification that is likely to have been triggered by the new short-selling rules that were introduced in 2007 by the Securities and Exchange Commission. The combination of both results reveals that the has been turning into a t. Additionally, the analysis of higher-order cumulants namely the skewness and the kurtosis-shows that the morning and the afternoon parts of the trading session are each clearly associated with different statistical features and hence dynamical rules. Concretely, we claim that the large initial trading volume is due to wayward stocks whereas the large volume during the last part of the session hinges on a cohesive increase of the trading volume. That dissimilarity between the two parts of the trading session is stressed in periods of higher uproar in the market.
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中文摘要：
我们研究了2003年至2014年间构成道琼斯工业平均指数的蓝筹股成交量的统计矩的日内行为。通过将时间间隔拆分为学期，我们还定量说明了日内统计特性的非平稳性质。明确地说，我们证明了从2008年（次贷金融危机年）起，平均交易量以及价格波动的波动性所表现出的众所周知的U型曲线发生了重大变化。这导致市场开盘后更快的放松，并与日内平均交易量曲线的凸度持续下降有关。与此同时，交易日的最后一部分也变得更加陡峭，这一修改可能是由美国证券交易委员会（sec）2007年推出的新卖空规则引发的。这两个结果的结合表明，已变为t。此外，对高阶累积量（即偏度和峰度）的分析表明，交易日的上午和下午部分都与不同的统计特征以及动态规则有明显的关联。具体而言，我们声称，初期交易量较大是由于任性股票，而交易日最后部分的交易量较大则取决于交易量的一致增长。在市场动荡的时期，这两个交易日的不同之处得到了强调。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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