Browsing Norges Banks vitenarkiv by Subject "equity trading"
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Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets
(Working Papers;9/2003, Working paper, 2003)We examine the volume-volatility relation using detailed data from a limit order driven equity market. Estimates of the intraday slope of the demand and supply schedules of the order book are found to capture regularities ...