  The study of order volumes in financial markets has shown that these display
several non-trivial statistical properties. Most studies have been focused on
the bulk properties of volume of incoming orders or of realized transactions
rather than the dynamical aspects. The present work is a study of the dynamical
properties of volume. Unlike previous works, we studied the volume available at
the spread rather than the volume of incoming orders or of realized
transactions. We found evidence that suggests mean reverting volume changes and
strong asymmetries in the equilibrium of sell and buy orders as well as the
presence of clustering.
