Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects
Review of Financial Studies
1989
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.
- DOI
- 10.1093/rfs/2.2.189
- Volume
- 2 (2)
- Pages
- 189-223
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref