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Intraday stock prices, volume, and duration: a nonparametric conditional density analysis

In: High Frequency Financial Econometrics

Author

Listed:
  • Anthony S. Tay

    (Singapore Management University)

  • Christopher Ting

    (Singapore Management University)

Abstract

We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.

Suggested Citation

  • Anthony S. Tay & Christopher Ting, 2008. "Intraday stock prices, volume, and duration: a nonparametric conditional density analysis," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 253-268, Springer.
    • Handle: RePEc:spr:stecpp:978-3-7908-1992-2_11
    DOI: 10.1007/978-3-7908-1992-2_11
    as

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