Nonlinear intraday trading invariance in the Russian stock market

Using high-frequency transaction-level data for liquid Russian stocks, we empirically reveal a joint nonlinear relationship between the average trade size, log-return variance per transaction, trading volume, and the asset price level described by the Intraday Trading Invariance hypothesis. The rela...

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Detalles Bibliográficos
Autores principales: Teplova, Tamara, Gurov, Sergei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Original Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994700/
https://www.ncbi.nlm.nih.gov/pubmed/35431385
http://dx.doi.org/10.1007/s10479-022-04683-7

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994700/
https://www.ncbi.nlm.nih.gov/pubmed/35431385
http://dx.doi.org/10.1007/s10479-022-04683-7

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