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Rush Hours: The Real Impact of Trading Activity on Volatility. Evidences from the Dow Jones Industrial 30.

https://doi.org/10.2139/ssrn.3190783

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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-4076(95)01736-4openalex-extracted

Modeling and pricing long memory in stock market volatility

inferredcites →https://doi.org/10.1016/s0378-4371(02)01048-8openalex-extracted

Waiting-times and returns in high-frequency financial data: an empirical study

inferredcites →https://doi.org/10.1093/rfs/1.1.3openalex-extracted

A Theory of Intraday Patterns: Volume and Price Variability

inferredcites →https://doi.org/10.1093/rfs/5.2.199openalex-extracted

Stock Prices and Volume

inferredcites →https://doi.org/10.1093/rfs/7.4.631openalex-extracted

Transactions, Volume, and Volatility

inferredcites →https://doi.org/10.1111/0022-1082.00297openalex-extracted

Time and the Price Impact of a Trade

inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02401.xopenalex-extracted

Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05206.xopenalex-extracted

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

inferredcites →https://doi.org/10.2307/1912002openalex-extracted

The Price Variability-Volume Relationship on Speculative Markets

inferredcites →https://doi.org/10.2307/1912726openalex-extracted

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

inferredcites →https://doi.org/10.2307/1913889openalex-extracted

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

inferredcites →https://doi.org/10.2307/2329383openalex-extracted

Market Microstructure Theory.

inferredcites →https://doi.org/10.2307/2330874openalex-extracted

The Relation Between Price Changes and Trading Volume: A Survey

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