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Trading Volume Alpha

https://doi.org/10.2139/ssrn.4802345
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inferredcites →https://doi.org/10.1002/fut.3990150806openalex-extracted
Forecasting futures trading volume using neural networks
inferredcites →https://doi.org/10.1007/s00780-004-0123-xopenalex-extracted
Liquidity risk and arbitrage pricing theory
inferredcites →https://doi.org/10.1016/0304-405x(74)90014-2openalex-extracted
Determinants of bid-asked spreads in the over-the-counter market
inferredcites →https://doi.org/10.1016/0304-405x(85)90044-3openalex-extracted
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
inferredcites →https://doi.org/10.1016/0304-405x(88)90034-7openalex-extracted
Estimating the components of the bid/ask spread
inferredcites →https://doi.org/10.1016/0304-405x(94)00811-eopenalex-extracted
Investment analysis and price formation in securities markets
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.09.023openalex-extracted
Improving VWAP strategies: A dynamic volume approach
inferredcites →https://doi.org/10.1016/j.jet.2016.06.001openalex-extracted
Dynamic portfolio choice with frictions
inferredcites →https://doi.org/10.1016/j.jfineco.2011.03.008openalex-extracted
Recent trends in trading activity and market quality
inferredcites →https://doi.org/10.1016/s0304-405x(99)00004-5openalex-extracted
Transaction costs and predictability: some utility cost calculations
inferredcites →https://doi.org/10.1016/s0378-4266(02)00321-7openalex-extracted
Intraday trading volume and return volatility of the DJIA stocks: A note
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1016/s1386-4181(97)00004-9openalex-extracted
Liquidity and stock returns: An alternative test
inferredcites →https://doi.org/10.1017/s0022109022000874openalex-extracted
Zeroing In on the Expected Returns of Anomalies
inferredcites →https://doi.org/10.1080/07350015.2019.1585256openalex-extracted
Comparing Possibly Misspecified Forecasts
inferredcites →https://doi.org/10.1093/rapstu/raz011openalex-extracted
Publication Bias and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/13.2.257openalex-extracted
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
inferredcites →https://doi.org/10.1093/rfs/5.2.199openalex-extracted
Stock Prices and Volume
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-extracted
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa078openalex-extracted
Microstructure in the Machine Age
inferredcites →https://doi.org/10.1093/rfs/hhab038openalex-extracted
Big Data in Finance
inferredcites →https://doi.org/10.1093/rfs/hhl014openalex-extracted
The Cross-Section of Expected Trading Activity
inferredcites →https://doi.org/10.1093/rfs/hhp003openalex-extracted
Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-extracted
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhy030openalex-extracted
The History of the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhz085openalex-extracted
A Transaction-Cost Perspective on the Multitude of Firm Characteristics
inferredcites →https://doi.org/10.1109/cvpr.2016.90openalex-extracted
Deep Residual Learning for Image Recognition
inferredcites →https://doi.org/10.1109/tit.2005.850145openalex-extracted
On the Optimality of Conditional Expectation as a Bregman Predictor
inferredcites →https://doi.org/10.1111/j.1540-6261.1978.tb02053.xopenalex-extracted
THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS
inferredcites →https://doi.org/10.1111/j.1540-6261.1983.tb02282.xopenalex-extracted
The Dynamics of Dealer Markets Under Competition
inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb04594.xopenalex-extracted
Liquidity and Market Structure
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-extracted
The Limits of Arbitrage
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00656.xopenalex-extracted
Are Momentum Profits Robust to Trading Costs?
inferredcites →https://doi.org/10.1111/jofi.12080openalex-extracted
Dynamic Trading with Predictable Returns and Transaction Costs
inferredcites →https://doi.org/10.1111/jofi.12365openalex-extracted
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.13225openalex-extracted
Model Comparison with Transaction Costs
inferredcites →https://doi.org/10.1111/jofi.13249openalex-extracted
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1111/jofi.13298openalex-extracted
The Virtue of Complexity in Return Prediction
inferredcites →https://doi.org/10.1162/neco.1997.9.8.1735openalex-extracted
Long Short-Term Memory
inferredcites →https://doi.org/10.1257/0002828041464597openalex-extracted
Risk and Volatility: Econometric Models and Financial Practice
inferredcites →https://doi.org/10.1287/mnsc.2022.4449openalex-extracted
Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability
inferredcites →https://doi.org/10.1287/mnsc.2023.4695openalex-extracted
Deep Learning in Asset Pricing
inferredcites →https://doi.org/10.1287/mnsc.2025.00721openalex-extracted
Deep Parametric Portfolio Policies
inferredcites →https://doi.org/10.1561/0500000064openalex-extracted
Financial Machine Learning
inferredcites →https://doi.org/10.2139/ssrn.2294498openalex-extracted
Trading Costs of Asset Pricing Anomalies
inferredcites →https://doi.org/10.2139/ssrn.3774514openalex-extracted
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.2139/ssrn.4187217openalex-extracted
Machine Learning and the Implementable Efficient Frontier
inferredcites →https://doi.org/10.2139/ssrn.4642167openalex-extracted
Teaching Economics to the Machines
inferredcites →https://doi.org/10.2139/ssrn.4702406openalex-extracted
The Expected Returns on Machine-Learning Strategies
inferredcites →https://doi.org/10.2139/ssrn.661343openalex-extracted
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
inferredcites →https://doi.org/10.2307/1913210openalex-extracted
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.2307/2109850openalex-extracted
A Dynamic Structural Model for Stock Return Volatility and Trading Volume
inferredcites →https://doi.org/10.2307/2118454openalex-extracted
Trading Volume and Serial Correlation in Stock Returns
inferredcites →https://doi.org/10.3386/w7625openalex-extracted
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
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