The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects
In this paper, we investigate the information content of trading intensity applying the Madhavan, Richardson and Roomans (1997) structural model to express trading intensity as trading momentum in duration and volume. Using both transactions and intraday data from the Helsinki Stock Exchange Limit O...
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2011
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| Online Access: | http://hdl.handle.net/10725/4945 http://dx.doi.org/10.1016/j.irfa.2011.06.002 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S1057521911000639?np=y |
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