Economics, Econometrics and Finance
8 years ago

Intraday Patterns Unveiled: Impact on Volume and Price Variability

Review of Financial Studies
A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati, Paul Pfleiderer

Paper Summary

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The article discusses how trading volume and price variability change throughout the day. Researchers from Stanford University analyzed patterns in financial markets to understand how these factors fluctuate over time. They found that trading volume tends to be higher at the beginning and end of the trading day, while price variability is higher in the middle of the day. This suggests that there are specific times when trading activity and price movements are more pronounced in financial markets.