Review of Financial Studies Vol. 1 No. 1 1988
A Theory of Intraday Patterns: Volume and Price Variability
Abstract
This article develops a theory in which concentrated-trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders. Our results provide a partial explanation for some of the recent empirical findings concerning the patterns of volume and price variability in intraday transaction data.
- DOI
- 10.1093/rfs/1.1.3
- Volume
- 1
- Issue
- 1
- Pages
- 3-40
- Language
- en
- Sources
- openalex crossref