Abstract
For a simple reason, intra-day volatility is important not only to traders with very short holding periods, but to longer term investors as well: volatility in brief time intervals is a manifestation of the efficiency with which prices are set, and inefficient pricing can lead to unduly high execution costs for the short -run trader and the longer-run investor alike. While short period, intraday volatility has been observed to be high, the reason for its accentuation has not been adequately understood.
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© 2011 Springer US
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Ozenbas, D., Pagano, M.S., Schwartz, R.A. (2011). Accentuated Intraday Stock Price Volatility. In: Schwartz, R., Byrne, J., Colaninno, A. (eds) Volatility. Zicklin School of Business Financial Markets Series. Springer, Boston, MA. https://doi.org/10.1007/978-1-4419-1474-3_8
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DOI: https://doi.org/10.1007/978-1-4419-1474-3_8
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Publisher Name: Springer, Boston, MA
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Online ISBN: 978-1-4419-1474-3
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