Title

Intraday Stock Prices, Volume, and Duration: A Nonparametric Conditional Duration Analysis

Publication Type

Conference Paper

Publication Date

7-2005

Abstract

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.

Discipline

Econometrics

Research Areas

Econometrics

Publication

Winter Meeting of the Econometric Society

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://econpapers.repec.org/article/sprempeco/v_3a30_3ay_3a2006_3ai_3a4_3ap_3a827-842.htm

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