Review of Financial Studies Vol. 2 No. 2 1989
Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects
Abstract
[This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.]
- Volume
- 2
- Issue
- 2
- Pages
- 189-223
- Sources
- bibtex:phds-export.bib