Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features.

ABSTRACT: Employing Random Matrix Theory and Principal Component Analysis techniques, we enlarge our work on the individual and cross-sectional intraday statistical properties of trading volume in financial markets to the study of collective intraday features of that financial observable. Our data consist of the trading volume of the Dow Jones Industrial Average Index components spanning the years between 2003 and 2014. Computing the intraday time dependent correlation matrices and their spectrum of eigenvalues, we show there is a mode ruling the collective behaviour of the trading volume of these stocks whereas the remaining eigenvalues are within the bounds established by random matrix theory, except the second largest eigenvalue which is robustly above the upper bound limit at the opening and sli

SUBMITTER: Graczyk MB 

PROVIDER: S-EPMC5533438 | biostudies-literature | 2017

REPOSITORIES: biostudies-literature