Abstract
According to the literature, there are some possible shapes of intraday patterns in stock market characteristics such as trading volume, transaction costs, order flows, depths, spreads, price returns, stock market resiliency, etc. Empirical investigation and visualization of intraday patterns may be a useful tool for investment decision–making process and can help an analyst to state how particular characteristics vary over a session. In this paper, intraday patterns in trading volume based on high frequency data, are investigated. The data set is large, and it contains transaction data rounded to the nearest second for 10 companies traded in the Warsaw Stock Exchange (WSE). The whole sample covers the long period from January 2005 to December 2018. Extensive studies document various hour-of-the-day patterns in volume on the stock markets in the world. The findings of empirical experiments for real-data from the WSE are in general consistent with the literature and they confirm that intraday trading volume reveals U-similar or M-similar patterns in the case of all investigated equities, for all analyzed periods.
Supported by the grant WZ/WI/1/2019 from Bialystok University of Technology and founded by the Ministry of Science and Higher Education.
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Olbryś, J., Oleszczak, A. (2020). Intraday Patterns in Trading Volume. Evidence from High Frequency Data on the Polish Stock Market. In: Saeed, K., Dvorský, J. (eds) Computer Information Systems and Industrial Management. CISIM 2020. Lecture Notes in Computer Science(), vol 12133. Springer, Cham. https://doi.org/10.1007/978-3-030-47679-3_33
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