개인구독
소속 기관이 없으신 경우, 개인 정기구독을 하시면 저렴하게
논문을 무제한 열람 이용할 수 있어요.
지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제13권 제6호
- 발행연도
- 2011.1
- 수록면
- 2,803 - 2,815 (13page)
이용수
초록· 키워드
오류제보하기
This paper inspects intraday seasonality and distributions of microstructure variables in the Long Gilt futures market, using the kernel method. Main findings suggest the following implications: First, new information arrived overnight is intensively reflected to transactions right after opening the market, and new information arrived during the morning and lunch time is intensively reflected to transactions of the middle period in the afternoon. Second, the price duration is an important endogenous variable, thus it is recommended that the price duration is also taken into consideration when the behavior of price volatility or volume is examined. Third, it is preferred that an asymmetric distribution rather than well- known symmetric distribution is used in order to examine the behavior of trading volume.
목차
등록된 정보가 없습니다.
참고문헌 (26)
참고문헌 신청
Admati, A. R. / 1988 / A theory of intraday patterns: Volume and price variability / Review of Financial Studies 1 : 3 ~ 40
Bauwens, L. / 2000 / The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks / Annals d'Econommie et de Statistique 60 : 117 ~ 149
Bauwens, L. / 2003 / Asymmetric ACD models: Introducing price information in ACD models / Empirical Economics 28 : 709 ~ 731
Bauwens, L. / 2004 / A comparison of financial duration models via density forecasts / International Journal of Forecasting 20 : 589 ~ 609
Brownlees, C. T. / 2006 / Financial econometric analysis at ultra-high frequency: Data handling concerns / Computational Statistics & Data Analysis 51 : 2232 ~ 2245
Bauwens, L. / 2000 / The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks / Annals d'Econommie et de Statistique 60 : 117 ~ 149
Bauwens, L. / 2003 / Asymmetric ACD models: Introducing price information in ACD models / Empirical Economics 28 : 709 ~ 731
Bauwens, L. / 2004 / A comparison of financial duration models via density forecasts / International Journal of Forecasting 20 : 589 ~ 609
Brownlees, C. T. / 2006 / Financial econometric analysis at ultra-high frequency: Data handling concerns / Computational Statistics & Data Analysis 51 : 2232 ~ 2245
이 논문의 저자 정보
최근 본 자료
댓글(0)
0