• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - Request a copy

Trading Volume and Arbitrage

Darolles, Serge; Le Fol, Gaëlle (2014), Trading Volume and Arbitrage, Annual International Conference on Accounting & Finance. 2014, Global Science & Technology Forum, p. 121-131

Type
Communication / Conférence
Date
2014
Conference title
4th Annual International Conference on Accounting and Finance (AF 2014)
Conference date
2014-04
Conference city
Phuket
Conference country
THAILAND
Book title
Annual International Conference on Accounting & Finance. 2014
Publisher
Global Science & Technology Forum
Pages
121-131
Metadata
Show full item record
Author(s)
Darolles, Serge
Dauphine Recherches en Management [DRM]
Le Fol, Gaëlle
Dauphine Recherches en Management [DRM]
Abstract (EN)
Decomposing returns into market and stock specific components is common practice and forms the basis of popular asset pricing models. What about volume? Can volume be decomposed in the same way as returns? Lo and Wang (2000) suggest such a decomposition. Our paper contributes to this literature in two different ways. First, we provide a model to explain why volumes deviate from the benchmark. Our interpretation is in terms of arbitrage strategies and liquidity. Second, we propose a new efficient screening tool that allows practitioners to extract specific information from volume time series. We provide an empirical illustration of the relevance and the possible uses of our approach on daily data from the FTSE index from 2000 to 2002.
Subjects / Keywords
Liquidity; Volume; Market portfolio; Arbitrage
JEL
G11 - Portfolio Choice; Investment Decisions
G14 - Information and Market Efficiency; Event Studies; Insider Trading
C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions

Related items

Showing items related by title and author.

  • Thumbnail
    Trading volume and Arbitrage 
    Darolles, Serge; Le Fol, Gaëlle (2014) Article accepté pour publication ou publié
  • Thumbnail
    Measuring the Liquidity Part of Volume 
    Darolles, Serge; Le Fol, Gaëlle; Mero, Gulten (2015) Article accepté pour publication ou publié
  • Thumbnail
    Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume 
    Bialkowski, Jedrzej; Darolles, Serge; Le Fol, Gaëlle (2012) Article accepté pour publication ou publié
  • Thumbnail
    When Market Illiquidity Generates Volume 
    Darolles, Serge; Le Fol, Gaëlle; Mero, Gulten (2011) Communication / Conférence
  • Thumbnail
    Improving VWAP strategies: A dynamic volume approach 
    Bialkowski, Jedrzej; Darolles, Serge; Le Fol, Gaëlle (2008) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo