Rev Fin 1988; 1:3-40
© 1988 the Society for Financial Studies
Article |
A theory of intraday patterns: volume and price variability
Stanford University, Graduate School of Business, Stanford, CA 94305, USA
Abstract
This article develops a theory in which concentrated-trading patterns arise endogenously as a results 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.
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