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- W3123669871 abstract "Define the number of buy-sell “switching points” as the number of times that individual traders change the direction of their trading. Based on the hypothesis that switching points take place in business time, market microstructure invariance predicts that the aggregate number of switching points is proportional to the 2=3 power of the product of dollar volume and volatility. Using trading data from the Korea Exchange (KRX) from 2008 to 2010, we estimate the exponent to be 0.675 with standard error of 0.005. Invariance explains about 93% of the variation in the logarithm of the number of switching points each month across stocks. Most of the variation represents changes in the number of accounts trading the stock and not the number of switching points per account." @default.
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- W3123669871 date "2016-10-01" @default.
- W3123669871 modified "2023-09-27" @default.
- W3123669871 title "Invariance of buy-sell switching points" @default.
- W3123669871 hasPublicationYear "2016" @default.
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