Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects

被引：96

作者：

Admati, Anat R. ^{[1
]}

Pfleiderer, Paul ^{[1
]}

机构：

[1] Stanford Univ, Stanford, CA 94305 USA

来源：

REVIEW OF FINANCIAL STUDIES | 1989年 / 2卷 / 02期

关键词：

D O I：

10.1093/rfs/2.2.189

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.

引用

页码：189 / 223

页数：35

共 24 条

[1]

Admati A. R., 1989, ASYMMETRY PUBL UNPUB

[2] A Theory of Intraday Patterns: Volume and Price Variability [J].