A Theory of Intraday Trading Patterns: Volume and Price Variability

A Theory of Intraday Trading Patterns: Volume and Price Variability

1988Working Paper No. 927

This paper develops a theory in which concentrated trading patterns arise endogeneously, as a result 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.