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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2005
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |
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