We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.
empirical analysis, price determination, stock market
Econometrics | Finance and Financial Management
Tay, Anthony S. and Ting, Christopher.
Intraday Stock Prices, Volume, and Duration: A Nonparametric Conditional Density Analysis. (2006). Empirical Economics. 30, (4), 827-842. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/312
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