Intraday Stock Prices, Volume, and Duration: A Nonparametric Conditional Density Analysis
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |