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Intraday Trading Invariance in the E-Mini S&P 500 Futures Market
16 references·0 citing·44 second hop
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References

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 2002New frontiers for arch models739 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks

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534 cited
  • 1967On the Distribution of Stock Price Differences529 cited
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