A model of intraday financial time series is developed. The model is a dynamic factor model consisting of two equations. First, a rate of return of a 'stock' in a single day is assumed to be generated by serveral common factors plus some additive erros ('intraday equation'). Secondly, the joint...

We analyse a Kyle-type continuous-time market model in which liquidity trading is correlated with a noisy public signal that is released continuously. We show that, in contrast to the previous literature, Kyle's λ, the price sensitivity to the order flow, can even be non-monotonic, depending on...