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Periodic market closure and trading volume : A model of intraday bids and asks

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Author Info
Brock, William A.
Kleidon, Allan W.

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File URL: http://www.sciencedirect.com/science/article/B6V85-45R2GY4-J/2/1aea8d4b99627b566f1b9b97f803f84e
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 16 (1992)
Issue (Month): 3-4 ()
Pages: 451-489
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Handle: RePEc:eee:dyncon:v:16:y:1992:i:3-4:p:451-489

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  1. David G. McMillan & Alan E. H. Speight, 2004. "Intra-day periodicity, temporal aggregation and time-to-maturity in FTSE-100 index futures volatility," Applied Financial Economics, Taylor and Francis Journals, vol. 14(4), pages 253-263, January. [Downloadable!] (restricted)
  2. Shafiqur Rahman & Chandrasekhar Krishnamurti & Alice Lee, 2005. "The Dynamics of Security Trades, Quote Revisions, and Market Depths for Actively Traded Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 91-124, September. [Downloadable!] (restricted)
  3. Peter C. Reiss & Ingrid M. Werner, 1994. "Transaction Costs in Dealer Markets: Evidence From The London Stock Exchange," NBER Working Papers 4727, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507008, EconWPA. [Downloadable!]
  6. Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics. [Downloadable!]
  7. Marcelle Arak & Richard Cook, 1997. "Do Daily Price Limits Act as Magnets? The Case of Treasury Bond Futures," Journal of Financial Services Research, Springer, vol. 12(1), pages 5-20, August. [Downloadable!] (restricted)
  8. Takatoshi Ito & Yuko Hashimoto, 2006. "Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System," NBER Working Papers 12413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. A. Abhyankar, L.S. Copeland, W. Wong, 1999. "LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market," European Journal of Finance, Taylor and Francis Journals, vol. 5(2), pages 123-139, June. [Downloadable!] (restricted)
  10. Brock, W.A. & Hommes, C.H., 2001. "Heterogeneous beliefs and and routes to complez dynamics in asset pricing models with price contingent contracts," CeNDEF Working Papers 01-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  11. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]
  12. Ingrid Lo & Stephen G. Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Working Papers 05-42, Bank of Canada. [Downloadable!]
  13. Niemeyer, Jonas & Sandås, Patrik, 1995. "An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange," Working Paper Series in Economics and Finance 44, Stockholm School of Economics. [Downloadable!]
  14. Allan W. Kleidon & Ingrid M. Werner, 1993. "Round-the-clock Trading: Evidence from U.K. Cross-Listed Securities," NBER Working Papers 4410, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:
  16. Leonardo Bartolini & Svenja Gudell & Spence Hilton & Krista Schwarz, 2005. "Intraday trading in the overnight federal funds market," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Nov. [Downloadable!]
  17. Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507009, EconWPA. [Downloadable!]
  18. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  19. repec:att:wimass:192023 is not listed on IDEAS
  20. Epaminondas Panas, 2005. "Generalized beta distributions for describing and analysing intraday stock market data: testing the U-shape pattern," Applied Economics, Taylor and Francis Journals, vol. 37(2), pages 191-199, February. [Downloadable!] (restricted)
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