A Theory of Intraday Patterns: Volume and Price Variability
成果类型：
Article
署名作者：
Admati, Anat R.; Pfleiderer, Paul
署名单位：
Stanford University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/1.1.3
发表日期：
1988
页码：
3
关键词：
摘要：
This article develops a theory in which concentrated-trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders. Our results provide a partial explanation for some of the recent empirical findings concerning the patterns of volume and price variability in intraday transaction data.