Adm ati, A. R., and Pfleiderer, P., "A Theory of Intraday Patterns: Volume and Price Variability." Review of Financial Studies, Vol. 1 No. 1 (Spring 1988-89), pp. 3-40.  Home/Search   Document Not in Database   Summary   Related Articles

....the adverse effects of location as a factor in information transfer. The choice of three minute intervals for this study is based on the belief that information is transmitted quickly. 7 See the following for discussions of information theory and informed trader models: Admati (1991) Admati and Pfleiderer (1988 89) Bookstaber and Pomerantz (1989) French and Roll (1986) Kyle (1985) and Ross (1989) 8 An example of a dominant market is shown by Blume, MacKinlay and Terker (1989) who found that the S P 500 stocks fell 7 more than non S P 500 stocks on October 19, 1987. They attributed the ....

....to all futures markets, with trades instituted by speculators, floor traders, and program traders. Independent markets theory : volatili ty in one futures marke t is independent of the volatili ty in other markets. This theory is consistent with the noise aspect of trading discussed in Adma ti and Pfleiderer (1988 89) French and R oll (1986) and Kyle (1985) Speculators and hedgers in the individual futures markets dominate the volatility behavior of each market, such tha t information (volatility) is not passed from one market to another. Cross spectral analysis provides measures of time dependent ....

Adm ati, A. R., and Pfleiderer, P., "A Theory of Intraday Patterns: Volume and Price Variability." Review of Financial Studies, Vol. 1 No. 1 (Spring 1988-89), pp. 3-40.

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