Construct · 1 fields · 1 citations

concentrated intraday trading: a standalone construct

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Market microstructure

the clustering of discretionary liquidity and informed trading at the same times of day, producing U-shaped intraday patterns in volume and price variability.

In market microstructure, concentrated intraday trading refers to the clustering of discretionary liquidity and informed trading at the same times of day, producing U-shaped intraday patterns in volume and price variability. This meaning comes from Admati (1988) in Review of Financial Studies.[1]

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Nearby constructs

liquidity2 fields · 2 citationsjingle · one word, two constructs market3 fields · 5 citationsjingle · one word, three constructs volume3 fields · 4 citationsjingle · one word, three constructs

References

Admati, A. R., & Pfleiderer, P. (1988). A Theory of Intraday Patterns: Volume and Price Variability. Review of Financial Studies, 1(1), 3-40. https://doi.org/10.1093/rfs/1.1.3

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