Liquidity
Amihud Illiquidity
A price-impact style liquidity signal that measures how much price movement accompanies a dollar of trading volume.
Liquidity
High Volume
A trading-activity signal that compares recent volume to a stock's own longer-run baseline to capture abnormal attention and visibility shocks.
Liquidity
High Volume 1M 12M
Definition phase
Definition
High volume measures recent average trading activity relative to a longer historical baseline for the same stock. Higher values indicate unusually strong recent trading activity, while lower values indicate unusually weak activity.
The economic intuition is that unusually heavy trading can increase visibility and investor attention, which may support subsequent returns for a period.
Inside the finance research stack, the representative implementation sorts the Russell 1000 cross-section on the abnormal-volume ratio and compares the strongest volume-shock names against the weakest names in a market-neutral spread.
Related Signals
Nearby ideas in the library.
Liquidity
Volume Volatility
A liquidity-stability signal that studies how variable a stock's dollar trading volume is through time.