Brauneis, Alexander; Mestel, Roland; Theissen, Erik - In: Review of Quantitative Finance and Accounting 64 (2024) 1, pp. 275-304
It is a stylized fact that trading activity, volatility and liquidity in equity and other financial markets follow specific intraday patterns. These patterns are to a large extent determined by institutional features such as exchange trading hours or batch settlement procedures. We analyze the...