Publication Type
Conference Paper
Version
submittedVersion
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
Citation
Tay, Anthony.
Intraday Stock Prices, Volume, and Duration: A Nonparametric Conditional Duration Analysis. (2005). Winter Meeting of the Econometric Society.
Available at: https://ink.library.smu.edu.sg/soe_research/834
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
http://econpapers.repec.org/article/sprempeco/v_3a30_3ay_3a2006_3ai_3a4_3ap_3a827-842.htm