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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| 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 |