This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …

of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …

FIDESSA. In accordance with the market microstructure literature stating that fragmentation affects volatility at the …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

empirical findings show that day trading increases the bid-ask spread, price depth and stock volatility, indicating that day …

stocks, the paper focuses on the study of the monthly evolution of normalized volatility ratios on Euronext Paris for the CAC … normalized volatility ratio is used as a measure of the market quality from the point of view of price discovery. A significant …-hour number of trades and the monthly average number of transactions are significant explanatory variables of the volatility …