Intraday stock prices, volume, and duration: a nonparametric conditional density analysis

Anthony S. Tay () and Christopher Ting
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Anthony S. Tay: Singapore Management University
Christopher Ting: Singapore Management University

A chapter in High Frequency Financial Econometrics, 2008, pp 253-268 from Springer

Abstract: We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high.

Keywords: Conditional Distribution; Price Change; York Stock Exchange; Trade Sign; Current Duration (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:stecpp:978-3-7908-1992-2_11

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DOI: 10.1007/978-3-7908-1992-2_11

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