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Duration, volume and volatility impact of trades · Study

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ArticleDuration, volume and volatility impact of trades

Simone Manganelli2005

Article2005

Duration, volume and volatility impact of trades

Simone Manganelli

182 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 182 citations exist upstream.

References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1980On the Impossibility of Informationally Efficient Markets 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987Price, trade size, and information in securities markets

Cited by

2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE 2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks 2010Data-based ranking of realised volatility estimators 2014A microstructure analysis of the carbon finance market 2013Modelling Asset Prices for Algorithmic and High-Frequency Trading 2006A Mixture Multiplicative Error Model for Realized Volatility 2009Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange 2016The role of volume in order book dynamics: a multivariate Hawkes process analysis

Details

Year2005

Typearticle

Published2005-07-20

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations182

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.finmar.2005.06.002

openalex_workW3124506232

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