A Theory of Intraday Patterns: Volume and Price Variability

Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988

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Type: article
Published: 1988-01-01
Cited by: 3,179
References: 9
DOI: https://doi.org/10.1093/rfs/1.1.3
OpenAlex: https://openalex.org/W2157495061
Semantic Scholar: https://api.semanticscholar.org/CorpusID:59520246

Keywords

Volume (thermodynamics), Library science, Economics, Computer science, Physics

References

Stock return variances: The arrival of information and the reaction of tradersKenneth R. French, Richard Roll — 1986
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices: CommentBenoît B. Mandelbrot — 1973
Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersLawrence R. Glosten, Paul Milgrom — 1985
A transaction data study of weekly and intradaily patterns in stock returnsLawrence Harris — 1986
Continuous Auctions and Insider TradingAlbert S. Kyle — 1985
The Dependence between Hourly Prices and Trading VolumePrem C. Jain, Gun-Ho Joh — 1988
An Investigation of Transactions Data for NYSE StocksRobert Wood, Thomas H. McInish, J. Keith Ord — 1985
A Subordinated Stochastic Process Model with Finite Variance for Speculative PricesPeter K. Clark — 1973
Market structure, information, futures markets, and price formation.Albert S. Kyle — 1984
An Investigation of Transactions Data for NYSE StocksR.J.K. Wood, Thomas H. McInish, J. Keith Ord — 1985

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Trading Volume and Volatility: Intraday Evidence from the Athens Stock ExchangeConstantinos Agorastos, Dionysios Chionis — 1998
Individual Investors and Corporate EarningsDaniel J. Taylor — 2010
Positive Feedback Trading Strategies: Evidencias sobre el futuro del Ibex-35Manuel Lorente Ortega — 2004
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Trading Volume, Information, and Trading Costs: Empirical EvidenceKee H. Chung, Hoje Jo, Hersh Shefrin — 2003
Intraday return, volatility and liquidity : an investigation of the market microstructure of the Chinese stock marketMingyuan Guo — 2006
The role of trading intensity in duration modelling and price discovery : evidence from the European carbon marketI. Kalaitzoglou — 2012
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Essays on short selling and margin trading in China : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New ZealandS. Sharif — 2013
Asymétrie d’information et marchés financiers: une synthèse de la littérature récenteBruno Biais, Thierry Foucault — 2009
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