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

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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書目詳細資料
主要作者:	Tay, Anthony
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2005
主題:	Econometrics
在線閱讀:	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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機構:	Singapore Management University
語言:	English

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