Chart 1: Intraday Volume Patterns for Mid Cap Names from 2008- 2014 on the Last Day of the Month
Chart 2: Intraday Volume Patterns for Mid Cap Names from 2008- 2014 Ex the Last Day of the Month
5 minute bin empirical data was aggregated into 15 minute intervals after excluding after hours trading. Bin dollar volumes were calculated by multiplying bin shares * bin VWAP. Bin dollar volume as a percent of daily volume was calculated for each bin and aggregated to a monthly average. Mid cap names are defined as those with a market cap between $500 million and $5 billion (USD)
Refer to Equity Related Analytics for information on available Intra-day 5 minutes statistics.
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