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Contributors Corner
Contributors Corner
Volume Volatility Relationship and Trade Cost of ETFs vs Common Stocks...

07.29.2014

Contributors Corner

Volume Volatility Relationship and Trade Cost of ETFs vs Common Stocks (Part 2)

07.29.2014

The uniqueness of ETFs is also evident in the volatility-volume relationship. To study this relationship, we compute the linear regression between log⁡(spread × √ADV) and log⁡(price × volatility), where spread and price are thrown in to normalize securities of different scales.

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