A Theory of Intraday Patterns: Volume and Price Variability
- 1 January 1988
- journal article
- research article
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 1 (1), 3-40
- https://doi.org/10.1093/rfs/1.1.3
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.Keywords
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