  We study the intraday behaviour of the statistical moments of the trading
volume of the blue chip equities that composed the Dow Jones Industrial Average
index between 2003 and 2014. By splitting that time interval into semesters, we
provide a quantitative account of the non-stationary nature of the intraday
statistical properties as well. Explicitly, we prove the well-known U-shape
exhibited by the average trading volume-as well as the volatility of the price
fluctuations-experienced a significant change from 2008 (the year of the
sub-prime financial crisis) onwards. That has resulted in a faster relaxation
after the market opening and relates to a consistent decrease in the convexity
of the average trading volume intraday profile. Simultaneously, the last part
of the session has become steeper as well, a modification that is likely to
have been triggered by the new short-selling rules that were introduced in 2007
by the Securities and Exchange Commission. The combination of both results
reveals that the has been turning into a t. Additionally, the analysis of
higher-order cumulants namely the skewness and the kurtosis-shows that the
morning and the afternoon parts of the trading session are each clearly
associated with different statistical features and hence dynamical rules.
Concretely, we claim that the large initial trading volume is due to wayward
stocks whereas the large volume during the last part of the session hinges on a
cohesive increase of the trading volume. That dissimilarity between the two
parts of the trading session is stressed in periods of higher uproar in the
market.
