Intraday Stock Prices, Volume, and Duration: A Nonparametric Conditional Duration 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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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
2005
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| الوصول للمادة أونلاين: | 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 |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |