Trading frequency and the compass rose

Charlie Cai, Robert Hudson and Kevin Keasey

Applied Economics Letters, 2003, vol. 10, issue 8, 511-517

Abstract: The paper uses market microdata to examine how the frequency with which share trading takes place affects the appearance of the compass rose. The results show that, for a share traded with a given frequency, there will be an optimum frequency of observation to produce the best compass rose.

Date: 2003
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DOI: 10.1080/1350485032000100288

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