A1384
Title: A fine lens on common trading flows
Authors: Songze Shi - University of Macau (China) [presenting]
Yi Ding - University of Macau (China)
Abstract: A continuous-time, high-dimensional factor model for trading volume is proposed. The model features a common trading intensity (CTI) factor that captures aggregated trading information flow and reflects common systematic risk. A statistical framework for spot estimation of the CTI process using trading volume aggregated over short intervals from a large cross-section of stocks is developed, and a new statistical test for deciding its roughness property is proposed. Using high frequency trading data of U.S. stocks, strong evidence is found that the CTI displays rough dynamics.
