Search Results - subject:"trading intensity"

Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

Hubalek, Friedrich; Posedel, Petra - In: Quantitative Finance 11 (2011) 6, pp. 917-932

-Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of …

Persistent link: https://www.econbiz.de/10009208243

The role of trading intensity estimating the implicit bid–ask spread and determining transitory effects

Ben Sita, Bernard; Westerholm, P. Joakim - In: International Review of Financial Analysis 20 (2011) 5, pp. 306-310

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 … the magnitude of the coefficients associated with the trading intensity variables, the trading effect determined by the …

Persistent link: https://www.econbiz.de/10010577778

Bias-free nonparametric estimation of intra-day trade activity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000

Persistent link: https://www.econbiz.de/10010316265

Trading Intensity and Real Estate Performance

Brounen, Dirk; Eichholtz, Piet; Ling, David - In: The Journal of Real Estate Finance and Economics 35 (2007) 4, pp. 449-474

Persistent link: https://www.econbiz.de/10005716734