Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
sharpens the picture of intra-day volatility accentuations: they are concentrated within the first two minutes after the open … Nasdaq’s calls have reduced this volatility, reorganized order flow, and lowered volatility persistence. Opening and closing … innovation -- Opening Price ; Closing Price ; Price Discovery ; Intra-Day Volatility ; Market Microstructure ; Equity Markets …