A Theory of Intraday Patterns: Volume and Price Variability

A Theory of Intraday Patterns: Volume and Price Variability

Review of Financial Studies.
1988, Vol. 1, Issue 1, Pages 3-40

This article develops a theory in which concentrated-trading patterns arise endogenously as a results of the strategic behavior of liquidity traders and informed traders. Our results provide a partial explanation for some of the recent empirical findings concerning the patterns of volume and price variability in intraday transaction data.