برچسب: Intraday Patterns
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Ahn And Cheung-The Intraday Patterns Of The Depth And Spread In A Market Without Market Makers
Depth And Spread The microstructure of the Saudi Stock Market (SSM) under the new computerized trading system, ESIS, is described, and order and other generated data sets are used toexamine the patterns in the order book, the dynamics of order ¯ow, and the probability of executing limit orders. Although the SSM has a distinct structure, […]
برچسب: Intraday Patterns
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Ahn And Cheung-The Intraday Patterns Of The Spread And Depth In A Market Without Market Makers 2
We examine the temporal behavior of the spread and depth for common stocks listed on the Stock Exchange of Hong Kong SEHK., which operates as a purely order-driven mechanism. We find U-shaped intraday and intraweek patterns in the spread and reverseU-shaped patterns in the depth. Our finding is consistent with that of the study of […]
برچسب: Intraday Patterns
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Admati And Pfleiderer-A Theory Of Intraday Patterns – Volume And Price Variability
Price Variability 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 sadeghiyan