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Quantitative Finance · Glossary

What is Volume surprise, Amihud illiquidity, turnover ratio?

Also known as: volume surprise · Amihud illiquidity · turnover ratio

Definition 7.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 7 — Price and Volume Features

The volume surprise of a security on a day is the logarithm of its volume divided by its average volume over a preceding window. Amihud illiquidity is the average over a window of the absolute daily return divided by the day’s traded value: the price move per unit of money traded (Amihud, 2002). The turnover ratio is traded volume divided by shares outstanding, averaged over a window.

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