Intraday Stock Prices, Volume, and Duration: A Nonparametric Conditional Density Analysis

• Main Authors: Tay, Anthony S., Ting, Christopher
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2006
• Subjects: empirical analysis; price determination; stock market; Econometrics; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/soe_research/312; https://ink.library.smu.edu.sg/context/soe_research/article/1311/viewcontent/IntradayStockPricesVolDuration_2006_EE.pdf
• Institution: Singapore Management University

We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substanti...