Intraday stock prices, volume, and duration: a nonparametric conditional density analysis |
| |
Authors: | Anthony S. Tay Christopher Ting |
| |
Affiliation: | (1) School of Economics and Social Sciences, Singapore Management University, 90 Stamford Road, Singapore, 178903, Singapore;(2) Lee Kong Chian School of Business, Singapore Management University, Singapore, Singapore |
| |
Abstract: | 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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|