Karpov, J. M. 1987. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22, 109--126. Home/Search Document Not in Database Summary Related Articles Check |
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A Bootstrap Evaluation of the Effect of Data Splitting on.. - LeBaron, Weigend (1998) (7 citations) (Correct)
....use three other sets of variables, making it an exogenous or ARX model. We use first differences of the logarithm of the level of the Dow Jones Industrials Index as a measure of relative stock returns, r t . Furthermore, volume movements are connected to stock return movements in interesting ways (Karpov, 1987; LeBaron, 1992a; Gallant et al. : 1993) One of these features is that volume is related to stock price volatility, sometimes approximated by the absolute magnitude of daily price movements. Furthermore, volume tends to be higher in rising markets. For these reasons we chose several lagged ....
Karpov, J. M. 1987. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22, 109--126.
A Bootstrap Evaluation of the Effect of Data Splitting on.. - LeBaron, Weigend (1998) (7 citations) (Correct)
....we use three other sets of variables, making it an exogenous or XAR model. We use first differences of the logarithm of the level of the Dow Jones Industrials Index as a measure of stock returns, r t . Furthermore, volume movements are connected to stock return movements in interesting ways (Karpov, 1987; LeBaron, 1992a; Gallant et al. : 1993) One of these features is that volume is related to stock price volatility, sometimes approximated by the absolute magnitude of daily price movements. Furthermore, volume tends to be higher in rising markets. For these reasons we chose several lagged ....
Karpov, J. M. 1987. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22, 109--126.
Evaluating Neural Network Predictors by Bootstrapping - LeBaron, Weigend (1994) (7 citations) (Correct)
....set (the period from September 17th through October 19th, 1987 that contains the 1987 crash) is set aside for some final out of sample forecasting experiments, described in Section 3.4. Volume movements are connected to stock return movements in interesting ways (e.g. Gallant et al. 1993] [Karpov, 1987], LeBaron, 1992] One of these features is that volume is related to stock price volatility, the absolute magnitude of daily price movements. Also, volume tends to be higher in rising markets. For these reasons we chose several lagged returns and volume variables as predictors. The predictor ....
J. M. Karpov. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis, 22:109--126, 1987.
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