Intraday Patterns in Trading Volume. Evidence from High Frequency Data on the Polish Stock Market

Olbryś, Joanna; Oleszczak, Adrian

doi:10.1007/978-3-030-47679-3_33

Cited by 3 publications

(2 citation statements)

References 17 publications

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“…According to the literature, there are some possible shapes of intra-day patterns in various stock market characteristics such as volumes, depths, spreads, returns, transaction costs, order flows, market resiliency, etc. (see e.g., [ 55 , 58 , 59 , 60 , 61 , 62 , 63 , 64 , 65 , 66 , 67 , 68 ] and the references therein). Goodhart and O’Hara [ 58 ] emphasize that a fundamental property of high-frequency data is that observations can occur at varying time intervals.…”

Section: Empirical Experiments For High-frequency Intraday Datamentioning

confidence: 99%

“…The authors find the U-shaped patterns in spread and trading volume. As for the Polish stock market, Olbryś and Oleszczak [ 68 ] conduct empirical experiments for real-data from the WSE and they document that intra-day trading volume reveals U-similar or M-similar hourly patterns in the case of all investigated equities and for all analyzed periods.…”

Section: Empirical Experiments For High-frequency Intraday Datamentioning

confidence: 99%

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An Entropy-Based Approach to Measurement of Stock Market Depth

Olbryś

Ostrowski

2021

Entropy

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The aim of this study is to investigate market depth as a stock market liquidity dimension. A new methodology for market depth measurement exactly based on Shannon information entropy for high-frequency data is introduced and utilized. The proposed entropy-based market depth indicator is supported by an algorithm inferring the initiator of a trade. This new indicator seems to be a promising liquidity measure. Both market entropy and market liquidity can be directly measured by the new indicator. The findings of empirical experiments for real-data with a time stamp rounded to the nearest second from the Warsaw Stock Exchange (WSE) confirm that the new proxy enables us to effectively compare market depth and liquidity for different equities. Robustness tests and statistical analyses are conducted. Furthermore, an intra-day seasonality assessment is provided. Results indicate that the entropy-based approach can be considered as an auspicious market depth and liquidity proxy with an intuitive base for both theoretical and empirical analyses in financial markets.

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Section: Empirical Experiments For High-frequency Intraday Datamentioning

confidence: 99%

Section: Empirical Experiments For High-frequency Intraday Datamentioning

confidence: 99%

An Entropy-Based Approach to Measurement of Stock Market Depth

Olbryś

Ostrowski

2021

Entropy

Self Cite

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Interest Rate Changes and Investors’ Activity: Evidence from Poland During the Pandemic Period

Olbryś

2022

Advances in Quantitative Economic Research

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Examining stylized facts and trends of FTSE/JSE TOP40: a parametric and Non-Parametric approach

Makatjane

Moroke

2022

DSFE

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<abstract><p>It is critical in risk and portfolio management to identify groups or classes of financial returns. Portfolio diversification is one of the first decisions made during the portfolio construction phase, and it entails allocating assets among various asset class groups to maximize the risk/reward trade-off. Therefore, this research provides a detailed examination of empirical analysis concerning the characterization of financial markets. In this study, we use parametric and non-parametric approaches to look at stylized facts and patterns of the FTSE/JSE Top40, which comprises the top 40 holdings companies in the South African financial market. To the best of our knowledge, this is the first time a model of this type has been used to create a map that characterizes this index. Our findings indicated that the majority of the properties of the data were valid including among others, clustering volatility, monthly seasonal effects and significant autocorrelation (or serial correlation) on logarithmic returns. Moreover, we found that intra-week trend effects exist, whereas the weekend effect has practically vanished in the FTSE/JSE Top40. With regard to the transition probabilities of the MS(2)-GJR-GARCH (1,1) model, the FTSE/JSE Top40 index had a 98.8% chance of exhibiting long memory, while the volatility had a 99.6% chance of exhibiting long memory.</p></abstract>

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Intraday Patterns in Trading Volume. Evidence from High Frequency Data on the Polish Stock Market

Cited by 3 publications

References 17 publications

An Entropy-Based Approach to Measurement of Stock Market Depth

An Entropy-Based Approach to Measurement of Stock Market Depth

Interest Rate Changes and Investors’ Activity: Evidence from Poland During the Pandemic Period

Examining stylized facts and trends of FTSE/JSE TOP40: a parametric and Non-Parametric approach

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