Intraday patterns in the S&P 500 index futures market

Author:

Ekman Peter D.

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference21 articles.

1. A Theory of Intraday Patterns;Admati;Review of Financial Studies,1988

2. Chicago Mercantile Exchange (undated) Market Reporter's Manual

3. Foster , F. Viswanathan , S. 1988 Interday Variation in Volumes, Spreads, and Variances

4. Stock Return Variances: The Arrival of Information and the Reaction of Traders;French;Journal of Financial Economics,1986

5. Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders;Glosten;Journal of Financial Economics,1985

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