Impact of Transaction Duration, Volume and Direction on Price and Volatility Dynamics

Author

Mitchell Craig Warachka, Singapore Management UniversityFollow
Anthony TAY, Singapore Management UniversityFollow
Hian Ann, Christopher Ting, Singapore Management UniversityFollow
Yiu Kuen Tse, Singapore Management UniversityFollow

Publication Type

Conference Paper

Publication Date

2005

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Publication

World Congress of Econometrics

Citation

Warachka, Mitchell Craig; TAY, Anthony; Ting, Hian Ann, Christopher; and Tse, Yiu Kuen. Impact of Transaction Duration, Volume and Direction on Price and Volatility Dynamics. (2005). World Congress of Econometrics.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1559