Ankur Sancheti

7 Questions 18 Answers 0 Followers

Questions related from Ankur Sancheti

Relative Comparison of Stock Volumes OR Price?

I want to study the stock volumes of a Company over a period of time v/s the Stock volumes OR Price of a Group of Companies which belong to the same Industry. My hypothesis is, any deviation in...

01 April 2016 8,453 8 View

Volumes per trade- Right Approach?

Folks, Company ABC trades on two exchanges in India (BSE and NSE). I have total traded volumes and number of trades from each of the Exchanges for company ABC daily. If i want to calculate...

11 March 2016 8,927 5 View

Moving Averages of Stock Volumes really make sense?

Folks, Till now I have been measuring the Volumes over moving averages of N-past days. And i realized how wrong I was. I feel, Volume is not a time-series data unlike price quotes. There is very...

09 February 2016 570 13 View

Has anybody computed liquidity Measures computation in Excel?

Folks, May someone please share any excel where they have computed various measures of liquidity? e.g Amihud, ILLQ, Turnover Ration etc. I am not good to decode the mathematical notations in white...

06 February 2016 316 1 View

Event Study - What is the role of Volumes?

Gentlemen, Till now most papers i read measures relative magnitude of Price Returns (AR, AAR, CAAR) as effect of an Event. My question is, why only price? How do we measure any noise in Volume...

04 February 2016 2,455 7 View

How to calculate the Abnormal Return (AR)?

Folks, I am researching on the impact of a Corporate disclosure on future abnormal returns (in short term). After reading few whitepapers, i realized one of the accepted way to measure the...

02 February 2016 6,695 10 View

Has anyone done any research/ analysis on Deliverable Volume?

Folks, As we know Deliverable Volume (DV hereafter) is a noise-free measure of shares changing hands at EOD. I am not sure if any other country's Stock exchanges provide this data point apart from...

27 January 2016 3,239 2 View