Determinants of trading volume in futures markets

The Extreme Value Method for Estimating the Variance of the Rate of Return

Michael Parkinson · The Journal of Business · 1980 · 2K citations

Engineering, Economics, Finance +10

The Price Variability-Volume Relationship on Speculative Markets

George Tauchen, Mark Pitts · Econometrica · 1983 · 1.5K citations

Social Sciences, Economics, Finance +14

The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities

Sanford J. Grossman · The Review of Economic Studies · 1977 · 325 citations

Social Sciences, Business Economics, Economics +16

The relationship between volume and price variability in futures markets

Bradford Cornell · Journal of Futures Markets · 1981 · 143 citations

Business, Economics, Finance +14