A Theory of Intraday Patterns: Volume and Price Variability
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/1/1/3/5234509/010003.pdf
Reference11 articles.
1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
2. Foster F. D. Viswanathan S. , 1987, Interday Variations in Volumes, Spreads and Variances: I. Theory, Working Paper 87-101, Duke University, The Fuqua School of Business, October.
3. Stock return variances
4. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
5. A transaction data study of weekly and intradaily patterns in stock returns
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