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Quantitative Finance · Glossário

O que é Volume smile?

Definition 13.2 Strategies I: Equities and Futures · Capítulo 13 — Intraday Patterns

The volume smile is the U-shaped pattern of trading volume (and volatility) across the trading day: high at the open, low at midday, highest at the close, with the closing auction taking a large share.

The chapter’s day model. Left: share of daily volume by half hour. Right: mean return of the last half hour by decile of the return from the previous close to the last half hour, without and with dealers hedging a short-gamma book. Data: s1_intraday.
Figure 13.1. The chapter’s day model. Left: share of daily volume by half hour. Right: mean return of the last half hour by decile of the return from the previous close to the last half hour, without and with dealers hedging a short-gamma book. Data: s1_intraday.
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