A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati, Paul Pfleiderer
The Review of Financial Studies · 1988 · Volume 1 · Issue 1
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.
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