The impact of transaction duration, volume and direction on price dynamics and volatility

Author： Tay Anthony   Ting Christopher   Kuen Tse Yiu   Warachka Mitch  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.11, Iss.3, 2011-03, pp. : 447-457

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply

By Caginalp G.   Desantis M.  

Quantitative Finance, Vol. 11, Iss. 6, 2011-06 ,pp. : 849-861

Routledge Ltd

Access to resources Recommend Favorite

Life Around the Firewood Stove: The Impact of Price Volatility

By  

Ids Bulletin, Vol. 46, Iss. 6, 2015-11 ,pp. : 98-104

John Wiley & Sons Inc

Access to resources Recommend Favorite

Unusual price-volume relationships in transaction pricing for payment cards

By Dunn Eric  

Journal of Payments Strategy & Systems, Vol. 1, Iss. 3, 2007-04 ,pp. : 273-281

Henry Stewart Publications

Access to resources Recommend Favorite

On the relationship between trading volume and stock price volatility in CASE

By Girard Eric   Omran Mohammed  

International Journal of Managerial Finance, Vol. 5, Iss. 1, 2009-02 ,pp. : 110-134

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Volatility conditional on price trends

By Zumbach Gilles  

Quantitative Finance, Vol. 10, Iss. 4, 2010-04 ,pp. : 431-442

Routledge Ltd

Access to resources Recommend Favorite