Search Results - subject:"Intraday Patterns"

Intraday Trading Patterns: The Role of Timing

Malinova, Katya; Park, Andreas - University of Toronto, Department of Economics - 2009

In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay — even though they expect the public expectation to move against them. This behavior causes distinct intra-day...

Persistent link: https://www.econbiz.de/10005029660

The impact of competition and information on intraday trading

Malinova, Katya; Park, Andreas - In: Journal of Banking & Finance 44 (2014) C, pp. 55-71

. This behavior generates intraday patterns with decreasing spreads, decreasing probability of informed trading (PIN), and …

Persistent link: https://www.econbiz.de/10010785405

Intraday futures patterns and volume-volatility relationships : the German evidence

Zwergel, Bernhard; Heiden, Sebastian - In: Review of managerial science 8 (2014) 1, pp. 29-61

Persistent link: https://www.econbiz.de/10010260112

The impact of competition and information on intraday trading

Malinova, Katya; Park, Andreas - In: Journal of banking & finance 44 (2014), pp. 55-71

Persistent link: https://www.econbiz.de/10010409963

Volatility in the Gold Futures Market

Batten, Jonathan A.; Lucey, Brian M. - Institute for International Integration Studies (IIIS), … - 2007

We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade (CBOT) using intraday (high frequency) data from January 1999 to December 2005. Apart from investigating the now familiar GARCH properties we also utilize a rarely used measure of...

Persistent link: https://www.econbiz.de/10005187502

Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market

Shi, Weihua; Eisenberg, Larry; Lee, Cheng-few - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 01, pp. 63-85

Following Bollerslev et al. (2000), this study characterizes the high-frequency volatility of the Japanese Government Bond (JGB) futures on the Tokyo Stock Exchange (TSE) in terms of intraday calendar effects, announcement effects and volatility persistence effects. The results indicate that,...

Persistent link: https://www.econbiz.de/10004965140

An Empirical Analysis of Strategic Behaviour Models

Comerton-Forde, Carole; O'Brien, Michael A.; … - In: Australian Journal of Management 32 (2007) 2, pp. 181-203

Existing theoretical models indicate that intraday patterns on stock exchanges are caused by the strategic interaction … be attributed to informed and liquidity traders, this paper examines strategic behaviour and intraday patterns. We find … significant proportion of intraday patterns can be explained by strategic trading by informed and liquidity traders. …

Persistent link: https://www.econbiz.de/10010769308

Long-Lived Information and Intraday Patterns

Back, Kerry; Pedersen, Hal - EconWPA - 1995

This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth …

Persistent link: https://www.econbiz.de/10005134644