المدربThe 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.
Quantitative Finance · المسرد
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