A Theory of Intraday Patterns: Volume and Price Variability

被引：1335

作者：

Admati, Anat R. ^{[1
]}

Pfleiderer, Paul ^{[1
]}

机构：

[1] Stanford Univ, Stanford, CA 94305 USA

来源：

REVIEW OF FINANCIAL STUDIES | 1988年 / 1卷 / 01期

关键词：

D O I：

10.1093/rfs/1.1.3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：3 / 40

页数：38

共 11 条

[1] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].