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 abattia   Registered: Dec 2008 Posts: 993 10-05-12 11:19 AM Quote from shotse: ... I'm trying to figure out how to calculate the volume (amount of shares) necessary to move a stock by a certain dollar amount. ... How about using "Third Law" here ... http://www.elitetrader.com/vb/showt...threadid=248586 Edit/Delete • Quote • Complain
 shotse   Registered: Dec 2009 Posts: 71 10-05-12 11:33 PM Quote from abattia: How about using "Third Law" here ... http://www.elitetrader.com/vb/showt...threadid=248586 That was helpful, thank you. Edit/Delete • Quote • Complain
 black diamond   Registered: Jul 2007 Posts: 335 10-06-12 04:21 AM Yes, those were the ones I had in mind. Quote from abattia: Are these the ones? Amihud (2002) http://www.cis.upenn.edu/~mkearns/finread/amihud.pdf Pastor and Stambaugh (I forget the year) http://papers.ssrn.com/sol3/papers....tract_id=279804 Chordia Roll and Subrahmanyam (2005) http://www.rhsmith.umd.edu/finance/...ubrahmanyam.pdf Edit/Delete • Quote • Complain
 abattia   Registered: Dec 2008 Posts: 993 12-03-12 03:00 PM Quote from shotse: ... I'm working on a research project right now and I'm kind of stumped. I'm trying to figure out how to calculate the volume (amount of shares) necessary to move a stock by a certain dollar amount. My project is pertaining to market manipulation in thinly traded securities like OTC penny stocks, small cap companies, thinly traded derivatives and so on. Maybe someone can point me in the right direction... How to calculate the volume (amount of shares) necessary to move a stock by a certain dollar amount?... Just touching base a few months down the line... did your research project reach fruition? Are there any results you can share here? Edit/Delete • Quote • Complain
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