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Interday variations in volume, variance and participation of large speculators
16 references·9 citing·45 second hop
Interday variations in volume, variance and participation of large speculators (1997)Interday variations in volume, variance a…The Individual Investor and the Weekend Effect (1994)The Individual Investor and t…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Systematic Risk, Hedging Pres…Volatility in the Foreign Currency Futures Market (1991)Volatility in the Foreign Cur…The Weekend Effect: Trading Patterns of Individual and Institutional Investors (1990)The Weekend Effect: Trading P…An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989 (1990)An Examination of Stock Marke…The Dependence between Hourly Prices and Trading Volume (1988)The Dependence between Hourly…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Returns to Individual Traders of Futures: Aggregate Results (1987)Returns to Individual Traders…Stock return variances (1986)Stock return variancesCross-Security Tests of the Mixture of Distributions Hypothesis (1986)Cross-Security Tests of the M…Returns to Speculators and the Theory of Normal Backwardation (1985)Returns to Speculators and th…Efficient Asset Portfolios and the Theory of Normal Backwardation (1983)Efficient Asset Portfolios an…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Information Flow, Trading Activity and Commodity Futures Volatility (2015)Information Flow, Trading Act…The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets (2014)The Impacts of Individual and…Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements (2011)Does 'Paper Oil' Matter? Ener…Fundamentals, Trader Activity and Derivative Pricing (2008)Fundamentals, Trader Activity…Weekend Effect, ‘Reverse’ Weekend Effect, and Investor Trading Activities (2005)Weekend Effect, ‘Reverse’ Wee…Volume and Volatility in the Fx-Market: Does it Matter Who You are? (2004)Volume and Volatility in the …The Day-of-the-Week and the Week-of-the-Month Effects: An Analysis of Investors' Trading Activities (2004)The Day-of-the-Week and the W…Information, Trading Demand, and Futures Price Volatility (2002)Information, Trading Demand, …Managed futures, positive feedback trading, and futures price volatility (1999)Managed futures, positive fee…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)When Are Contrarian Profits Due to Stock Market Overreaction? 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Intraday Evidence on the Impact of Time Stamp Delays (2013)Equity issues and offering dilution (1986)Earnings news and small traders (1992)Inferring investor behavior: Evidence from TORQ data (2000)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Hedging Pressure Effects in Futures Markets (2000)Momentum strategies in commodity futures markets (2007)Speculators, commodities and cross-market linkages (2013)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Time and the Price Impact of a Trade (2000)Optimal trading strategy and supply/demand dynamics (2012)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)Inferring Trade Direction from Intraday Data (1991)Trade Size and Components of the Bid-Ask Spread (1995)Pricing the commonality across alternative measures of liquidity (2007)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1986Stock return variances1,813 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
  • 1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets538 cited
  • 1990The Weekend Effect: Trading Patterns of Individual and Institutional Investors498 cited
  • 1994The Individual Investor and the Weekend Effect333 cited
  • 1991Volatility in the Foreign Currency Futures Market284 cited
  • 1986Cross-Security Tests of the Mixture of Distributions Hypothesis276 cited
  • 1990An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989262 cited
  • 1985Returns to Speculators and the Theory of Normal Backwardation238 cited
  • 1983Efficient Asset Portfolios and the Theory of Normal Backwardation221 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

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152 cited
  • 1987Returns to Individual Traders of Futures: Aggregate Results140 cited
  • Cited by

    • 2008Fundamentals, Trader Activity and Derivative Pricing123 cited
    • 2011Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements77 cited
    • 2004Volume and Volatility in the Fx-Market: Does it Matter Who You are?61 cited
    • 1999Managed futures, positive feedback trading, and futures price volatility57 cited
    • 2005Weekend Effect, ‘Reverse’ Weekend Effect, and Investor Trading Activities43 cited
    • 2002Information, Trading Demand, and Futures Price Volatility33 cited
    • 2004The Day-of-the-Week and the Week-of-the-Month Effects: An Analysis of Investors' Trading Activities32 cited
    • 2014The Impacts of Individual and Institutional Trading on Futures Returns and Volatility: Evidence from Emerging Index Futures Markets27 cited
    • 2015Information Flow, Trading Activity and Commodity Futures Volatility27 cited