A Theory of Intraday Patterns: Volume and Price Variability
Review of Financial StudiesPublished 1 January 1988
Anat R. Admati, Paul Pfleiderer
Citations3,273
SJR quartileQ1
SJR score16.55
SNIP4.52
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Abstract
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.
Keywords
Economics, Econometrics and Finance
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