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

  • Anthony S. Tay
  • Christopher Ting
Part of the Studies in Empirical Economics book series (STUDEMP)

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.


Conditional Distribution Price Change York Stock Exchange Trade Sign Current Duration 
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Copyright information

© Physica-Verlag Heidelberg 2008

Authors and Affiliations

  • Anthony S. Tay
    • 1
  • Christopher Ting
    • 2
  1. 1.School of Economics and Social SciencesSingapore Management UniversitySingaporeSingapore
  2. 2.Lee Kong Chian School of BusinessSingapore Management UniversitySingaporeSingapore

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