caa a22 4500 467895899 CHVBK 20180406152804.0 cr unu---uuuuu 170328e20060101xx s 000 0 eng 10.1007/s00181-005-0004-y doi (NATIONALLICENCE)springer-10.1007/s00181-005-0004-y Intraday stock prices, volume, and duration: a nonparametric conditional density analysis [Elektronische Daten] [Anthony Tay, Christopher Ting] We investigate the distribution of high-frequency price changes, conditional on trading volume and duration between trades, on four stocks traded on the New York Stock Exchange. The conditional probabilities are estimated nonparametrically using local polynomial regression methods. We find substantial skewness in the distribution of price changes, with the direction of skewness dependent on the sign of trade. We also find that the probability of larger price changes increases with volume, but only for trades that occur with longer durations. The distribution of price changes vary with duration primarily when volume is high. Springer-Verlag, 2005 Tay Anthony School of Economics and Social Sciences, Singapore Management University, 90 Stamford Road, 178903, Singapore, Singapore aut Ting Christopher Lee Kong Chian School of Business, Singapore Management University, Singapore, Singapore aut Empirical Economics Physica-Verlag 30/4(2006-01-01), 827-842 0377-7332 30:4<827 2006 30 181 https://doi.org/10.1007/s00181-005-0004-y text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0004-y text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Tay Anthony School of Economics and Social Sciences, Singapore Management University, 90 Stamford Road, 178903, Singapore, Singapore aut NATIONALLICENCE 700 1- Ting Christopher Lee Kong Chian School of Business, Singapore Management University, Singapore, Singapore aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 30/4(2006-01-01), 827-842 0377-7332 30:4<827 2006 30 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer