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Gerety et al., 1994 - Google Patents

Price formation on stock exchanges: The evolution of trading within the day

Gerety et al., 1994

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Document ID
2614445377492131334
Author
Gerety M
Mulherin J
Publication year
Publication venue
Review of Financial Studies

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Snippet

Prior analyses of prices of the NYSE and other exchanges find that transitory price volatility is greater at the open of trading than at the close. We extend this line of research by using 40 years of hourly Dow Jones 65 composite price index data to estimate transitory volatility …
Continue reading at www.researchgate.net (PDF) (other versions)

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