𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Intraday Patterns Of The Spread And Depth In A Market Without Market Makers

✍ Scribed by Ahn; Cheung

Book ID
107228327
Year
2010
Tongue
German
Weight
448 KB
Category
Fiction

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Intraday behavior of market depth in a c
Intraday behavior of market depth in a competitive dealer market: A note
✍ Alex Frino; Andrew Lepone; Grant Wearin πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 278 KB

## Abstract This study is the first to examine the intraday behavior of quoted depth in a competitive dealer market. In sharp contrast to previous research that focuses on specialist markets, quoted depth is lowest at the open of trading, plateaus around the middle of the day, and then dramatically

Intraday patterns in the S&P 500 index f
Intraday patterns in the S&P 500 index futures market
✍ Peter D. Ekman πŸ“‚ Article πŸ“… 1992 πŸ› John Wiley and Sons 🌐 English βš– 994 KB

The detailed descriptions of intraday volatility and other variables may also contribute to the continuing public discussion on stock index futures. ## PREVIOUSLY OBSERVED PATTERNS The U-shaped intraday pattern in stock returns and returns variance are first documented by Wood, Mclnish, and Ord(1

Dynamics of intraday serial correlation
Dynamics of intraday serial correlation in the Italian futures market
✍ Simone Bianco; Roberto RenΓ² πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 263 KB

## Abstract The serial correlation of high‐frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000–2002 is studied. It is found that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bid–ask bounce effect. Although