Trading Volume

Trading Volume

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qWe examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two-fund separation theorems suggest a natural definition for trading activity: share turnover...We find strong evidence against two-fund separation, and a principal-components decomposition suggests that turnover is well approximated by a two-factor linear modelq -- Abstract.Definitions, Data Analysis, and Implications of Portfolio Theory Andrew Wen- Chuan Lo, Jiang Wang ... Freeman Ronald ScheUkat Richard Freeman Ronald Schettkat Cafe James D. i Eric P. Chiang Jeffrey L. Jensen Andrew W. Lo Harry Mamaysky Jiang ... Industrial 3/00 Foundations of Technical Analysis: Computational 3/00 Algorithms, Statistical Inference, and Empirical Implementation Using Optionsanbsp;...

Title:Trading Volume
Author:Andrew Wen-Chuan Lo, Jiang Wang
Publisher: - 2000


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