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.
Quantitative Finance · Begrippenlijst
Wat is Volume surprise, Amihud illiquidity, turnover ratio?
Ook bekend als: volume surprise · Amihud illiquidity · turnover ratio