What is it about?
Volume is a comparatively neglected variable in academic finance– price and return usually attract far more research interest. An interesting recent exception to this rule, which examines the interaction of volume with behavioural finance, is “Market crowd trading conditioning, agreement price, and volume implications” by a group of Chinese researchers. Automated Trader discusses the paper with its lead author, Leilei Shi of the University of Science and Technology of China.
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Why is it important?
Hi Leilei Automated Trader magazine would like to invite you to participate in an interview regarding your paper: "Market Crowd Trading Conditioning, Agreement Price, and Volume Implications". This will be run in the Q2 issue of the magazine as our "Dequantification" feature (a previous example of which is attached). The major topics we will discuss are: • The original motivation for your research • An explanation in English (as opposed to formulae) of any crucial analytics mentioned in the paper (e.g. the price-volume probability wave equation) • How traders respond to a jump in the equilibrium price and any methodology for identifying that price. • How the validity of your research might vary depending upon the balance of institutional and retail traders in a particular market The objective of the interview is definitely not to offer any form of investment advice, but solely to explain the core concepts within the paper to a readership of professional traders in less quantitative terms. If possible, we would prefer any attribution for yourself to be in your USTC role (as mentioned on the paper's front page) and definitely not your role at Bank of China International (China) Co. Ltd. As you can see from the attached example, the intention with "Dequantification" is to explain academic work in less academic terms and therefore we only interview people in their academic role for this feature. Regds Andy Andy Webb Founder and Chairman Automated Trader Magazine Tel: +44-1249-716122 On 14/04/2013 12:54
Perspectives
I had focused on explicit mathematical relation between trading volume and price and attempted to derive a securities transaction wave equation since 1999. Fortunately, a security transaction wave equation was born in 2002. It guides me to study forward.
Leilei Shi
Read the Original
This page is a summary of: The Volume and Behaviour of Crowds, SSRN Electronic Journal, January 2013, Elsevier,
DOI: 10.2139/ssrn.3532838.
You can read the full text:
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