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Trading frequency and the compass rose

Author

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  • Charlie Cai
  • Robert Hudson
  • Kevin Keasey

Abstract

The paper uses market microdata to examine how the frequency with which share trading takes place affects the appearance of the compass rose. The results show that, for a share traded with a given frequency, there will be an optimum frequency of observation to produce the best compass rose.

Suggested Citation

  • Charlie Cai & Robert Hudson & Kevin Keasey, 2003. "Trading frequency and the compass rose," Applied Economics Letters, Taylor & Francis Journals, vol. 10(8), pages 511-517.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:8:p:511-517
    DOI: 10.1080/1350485032000100288
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    Cited by:

    1. Wing Lon Ng, 2006. "Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose," SFB 649 Discussion Papers SFB649DP2006-086, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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