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

• المؤلفون الرئيسيون: Tay, Anthony S., Ting, Christopher
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2006
• الموضوعات: empirical analysis; price determination; stock market; Econometrics; Finance and Financial Management
• الوصول للمادة أونلاين: 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

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...