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A Theory of Intraday Patterns: Volume and Price Variability
Abstract
This article develops a theory in which concentrated-trading patterns arise endogenously 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.
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Citations
Cited by
Disclosure, Liquidity, and the Cost of Capital
DIAMOND, D. W., & VERRECCHIA, R. E. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04620.x · Cited by 3,836
The Economic Consequences of Increased Disclosure
Leuz, C., & Verrecchia, R. E. (2000) · Journal of Accounting Research · doi:10.2307/2672910 · Cited by 2,370
Chicken & Egg: Competition among Intermediation Service Providers
Caillaud, B., & Jullien, B. (2003) · The RAND Journal of Economics · doi:10.2307/1593720 · Cited by 1,799
Differences of Opinion Make a Horse Race
Harris, M., & Raviv, A. (1993) · Review of Financial Studies · doi:10.1093/rfs/5.3.473 · Cited by 1,643
Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
Easley, D., O'Hara, M., & Srinivas, P. S. (1998) · The Journal of Finance · doi:10.1111/0022-1082.194060 · Cited by 1,084
Metadata
- Authors
- Admati, A. R., & Pfleiderer, P.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1988-01
- Volume
- 1
- Issue
- 1
- Pages
- 3-40
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2157495061
- Cited by
- 3,119
- References
- 0
- FWCI
- 50.79
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: A Theory of Intraday Patterns: Volume and Price Variability. https://app.cochat.ai/papers/10.1093/rfs/1.1.3
- The paper
- Admati, A. R., & Pfleiderer, P. (1988). A Theory of Intraday Patterns: Volume and Price Variability. Review of Financial Studies. https://doi.org/10.1093/rfs/1.1.3
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
