Intra-Day Market Activity.

We analyse high-frequency data by means of the duration between successive ticks and volume of capital durations. It allows to introduce trading activity and coactivity measures, which may or may not also be volume weighted. Some applications on particular stocks of the PAris Bourse are provided.

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Year of publication:	1996
Authors:	Gourieroux, C. ; Jasiak, J. ; Le Fol, G.
Subject:	RISK \| MODELS \| FINANCIAL MARKET \| STOCK MARKET

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Type of publication:	Book / Working Paper
Notes:	47 pages
Classification:	D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671569