STAT244.Lecture.03 5

STAT244.Lecture.03 5 - I Time between trades, shorter near...

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Diurnal patterns: I Periodic pattern; U-shape. I Volatility, volume, spread are higher near the open and close.
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.

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