Broussard, John Paul; Nikiforov, Andrei - In: Journal of International Financial Markets, … 30 (2014) C, pp. 196-204
This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10min throughout the trading day. We speculate this activity is either the result of algorithmic trading influenced by...