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

• Main Author: Tay, Anthony
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2005
• Subjects: Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/834; https://ink.library.smu.edu.sg/context/soe_research/article/1833/viewcontent/Intraday_Stock_Prices_Volume_and_Duration__A_Nonparametric_Cond.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 substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.