Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and volume interact, particularly when the levels of both are high. We find that the…
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48 results for “empirical volume function”
Market Impact Paradoxesq-fin.TR
The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric (constant trading volume) MI is…
Study optimizes prediction intervals in conformal regression.
problem Optimizing the length of prediction intervals in conformal regression.
method Introduces EffOrt and Ad-EffOrt methodologies to minimize interval length.
result Demonstrates theoretical and empirical improvements over classical methods.
In this article we study the dependence degree of the traded volume of the Dow Jones 30 constituent equities by using a nonextensive generalised form of the Kullback-Leibler information measure. Our results show a slow decay of the dependence degree as a function of the lag. This feature is compatible with the existenc…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial market: the trading volume and the price fluctuations. From the segmentation proce…
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference…
Estimates dimension of subsets from random samples, proving consistency.
problem Estimating the dimension of a compact subset from random samples.
method Consistency proofs for Minkowski, correlation, and pointwise dimensions using empirical volume function.
result Statistical consistency of estimators for various dimension notions.
Market Impact of Small Ordersq-fin.TR
Study examines market impact of small orders in futures contracts.
problem Understanding market impact of small orders in financial markets.
method Empirical study using tick data, normalizing results, proposing a simple linear model.
result Market impact of small orders is either linear or concave, depending on the instrument.
This paper aims at formulating the issue of ranking multivariate unlabeled observations depending on their degree of abnormality as an unsupervised statistical learning task. In the 1-d situation, this problem is usually tackled by means of tail estimation techniques: univariate observations are viewed as all the more …
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e., the impact per share of large metaorders is smaller than that…
Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysisq-fin.TR
We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate copula density function. We find that large local fluctuations strongly …
This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock market. First, for stocks that were traded for suffciently long period of time, we study the return and volume distributions and identify th…
The study reveals traders' risk aversion and a new risk premium from market volumes.
problem Understanding traders' rationality and risk aversion from market volumes.
method Optimal Merton dynamics model to estimate average risk aversion and price of risk.
result Validation of the proposed trading strategy model on real data.
Market depth and price dynamics: A notecond-mat.other
This note explores the consequences of nonlinear price impact functions on price dynamics within the chartist-fundamentalist framework. Price impact functions may be nonlinear with respect to trading volume. As indicated by recent empirical studies, a given transaction may cause a large (small) price change if market d…
In this study, we investigate the statistical properties of the returns and the trading volume. We show a typical example of power-law distributions of the return and of the trading volume. Next, we propose an interacting agent model of stock markets inspired from statistical mechanics [24] to explore the empirical fin…
New model explains price, volume, and waiting times in financial markets.
problem Understanding price, volume, and waiting times in financial markets.
method Generalized semi-Markov chains with endogenous index process and copulae for dependence.
result Model accurately reproduces empirical evidence from Italian stock market data.
On the Origin of Power-Law Fluctuations in Stock Pricescond-mat.dis-nn
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and perform a new estimation of market impact that accounts for splitting of large ord…
Volume of unit balls defined by quadratic differentials is not proper and has integrable volume.
problem Characterizing the behavior of volume functions associated with quadratic differentials.
method Analyzing the Thurston volume of unit balls in measured lamination spaces.
result The volume function is not proper and is -integrable for any .
Paper introduces a new cosmological volume function and its properties.
problem Introducing a new cosmological volume function.
method Introduces and analyzes the cosmological volume function τ_V, showing it's continuously differentiable.
result τ_V leads to a canonical splitting of the metric tensor and a canonical Wick-rotated Riemannian metric.
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi-Markov chain model. Based on this assumptions we show that this model is able to reprod…
In this paper, we study volume growth, Liouville theorem and the local gradient estimate for -harmonic functions, and volume comparison property of unit balls in complete noncompact gradient Ricci shrinkers. We also study integral properties of f-harmonic functions and harmonic functions on such manifolds.
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We find that accumulative trading volume gradually emerges a kurtosis near the price mean value over a trading price range …
Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order. Our empirical results are remarkably well explained by a recently proposed dynamical theory…
New properties are derived of renormalized volume functionals, which arise as coefficients in the asymptotic expansion of the volume of an asymptotically hyperbolic Einstein (AHE) manifold. A formula is given for the renormalized volume of an even-dimensional AHE manifold in terms of an arbitrary totally geodesic compa…
New length functions on mapping class groups linked to simplicial volumes of mapping tori.
problem Understanding the relationship between mapping class groups and simplicial volumes of mapping tori.
method Introducing filling volumes as length functions and proving their properties.
result Real filling volumes equal the simplicial volume of mapping tori, while integral filling volumes are not smaller than the stable integral simplicial volume.
Winterbottom shape minimizes capillary functional under volume constraint.
problem Finding the shape that minimizes capillary functional under volume constraint.
method Proved minimality of Winterbottom shape using anisotropic capillary functional.
result Winterbottom shape is a volume-constraint minimizer of the anisotropic capillary functional.
In this paper we consider the task of detecting abnormal communication volume occurring at node-level in communication networks. The signal of the communication activity is modeled by means of a clique stream: each occurring communication event is instantaneous and activates an undirected subgraph spanning over a set o…
Study critical metrics on manifolds with boundary using integral and boundary estimates.
problem Investigate geometry of critical metrics on compact manifolds with boundary.
method Use generalized Reilly's formula to derive integral and boundary estimates.
result Establish new boundary estimates for critical metrics of the volume functional.
Sharp heat kernel and Green's function estimates on Euclidean volume growth manifolds.
problem Estimating heat kernels and Green's functions on specific Riemannian manifolds.
method Analyzing noncompact Riemannian manifolds with nonnegative Ricci curvature and Euclidean volume growth.
result Sharp Moser-Trudinger inequalities on manifolds with Euclidean volume growth.
Study proposes deep learning for VWAP execution in crypto markets, outperforming traditional methods.
problem Challenges in achieving VWAP due to dynamic volume and price factors.
method Direct optimization of VWAP execution using deep learning, bypassing volume curve prediction.
result Deep learning approach consistently achieves lower VWAP slippage in volatile markets.
Study intrinsic volume forms on complex hypersurfaces.
problem Computing volume functionals on pseudoconvex hypersurfaces.
method Compute first and second variation formulae, explore infinite dimensional aspects.
result Discuss possible analogues of the affine isoperimetric inequality.
The minimizer of a volume function is unique for klt singularities.
problem Uniqueness of the minimizer of the normalized volume function for klt singularities.
method Defining stability thresholds for valuations and showing K-semistability.
result The minimizer of the normalized volume function for a klt singularity is unique up to rescaling.
Uniqueness of asymptotic limits for Ricci-flat manifolds with linear volume growth is proven.
problem Proving uniqueness of asymptotic limits for noncollapsed Ricci flat manifolds with linear volume growth.
method Relating uniqueness to the existence of a harmonic function asymptotic to a Busemann function, proving uniqueness via a monotone quantity.
result Proves uniqueness of the asymptotic limit and establishes a polynomial convergence rate.
Volume comparison theorem for rank 1 symmetric spaces proved.
problem Volume comparison for symmetric spaces of non-compact type.
method Normalized Ricci--DeTurck flow to analyze volume functional and derive monotonicity properties.
result Volume comparison theorem established for rank 1 symmetric spaces of non-compact type.
We use a large census of hyperbolic 3-manifolds to experimentally investigate a conjecture of Neumann regarding the Bloch Group. We present an augmented census including, for feasible invariant trace fields, explicit manifolds (associated to that field) that appear to generate the Bloch group of that field. We also mak…
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB shape has a maximum away from the same best price for both buy and sell LOBs. Th…
The study links Ricci curvature and convexity in complex tori.
problem Characterizing Ricci curvature signs in toric manifolds.
method Characterization through convexity of volume functional.
result Relationships between Ricci curvature, volume, submanifolds, and pluri-subharmonic functions.
Study critical metrics on manifolds, proving specific isometries.
problem Investigating critical metrics on complete manifolds.
method Analyzing volume functional and proving isometries.
result Critical metrics on specific manifolds are isometric to standard models.
In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new value, either by a new limit order submitted inside the spread or by a market or…
The relative volume function and the capacity of sphere on asymptotically hyperbolic manifoldsmath.DG
Study the relative volume function on AH manifolds and its applications.
problem Characterize the height of geodesic defining functions and capacity of balls.
method Define and analyze the relative volume function, proving its boundedness and regularity.
result Uniformly bounded relative volume function at infinity, bound dependent only on dimension.
The filling volume functions of the n-th quaternionic Heisenberg group grow, up to dimension n, as fast as the ones of the Euclidean space. We identify the growth rate of the filling volume function in dimension n+1, which is strictly faster than the growth rate of the (n+1)-dimensional filling volume function of the E…
In the context of Synthetic Differential Geometry, we describe the square volume of a ``second-infinitesimal simplex'', in terms of square-distance between its vertices. The square-volume function thus described is symmetric in the vertices. The square-volume gives rise to a characterization of the volume form in the t…
Study finds critical points in perimeter functional for fixed volume sets.
problem Finding critical points in perimeter functional for sets of fixed volume.
method Utilizes Mazurwoski--Zhou techniques and new Cacciopoli set connectedness results.
result Constructs smooth almost embedded hypersurfaces with non-zero constant mean curvature.
Estimates volume of convex Alexandrov spaces with boundary.
problem Estimating volume of Alexandrov spaces with convex boundaries.
method Gradient flow of semi-concave functions.
result Volume upper bound achieved implies Boundary Conjecture.
The signed volume function for polyhedra can be generalized to a mean volume function for volume elements by averaging over the triangulations of the underlying polyhedron. If we consider these up to translation and scaling, the resulting quotient space is diffeomorphic to a sphere. The mean volume function restricted …
Ricci curvature links volume convexity and minimal submanifolds.
problem Volume functional convexity and minimal submanifolds in Kaehler geometry.
method Toric Kaehler geometry and quasi-homogeneous manifolds.
result Sign of Ricci curvature correlates with volume functional convexity.
The main purpose of this paper is to present a number of analytic and geometric properties of the -function and the reduced volume of Perelman, including in particular the monotonicity, the upper bound and the rigidities of the reduced volume.
Entropy derived from Colding's volume on Ricci-flat manifolds.
problem Deriving Perelman's entropy from Colding's monotonic volume.
method Applying Colding's monotonic volume to Perelman's N-space for harmonic functions on Ricci-flat manifolds.
result Entropy is the limit of Colding's monotonic volume.