Tay, Anthony; Ting, Christopher; Tse, Yiu Kuen; … - In: Quantitative Finance 11 (2010) 3, pp. 447-457
We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are...