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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

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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.

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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

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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?

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