Order flow and volatility: An empirical investigation
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DOI: 10.1016/j.jempfin.2014.07.002
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- Adam Clements & Joanne Fuller & Vasilios Papalexiou, 2015. "Public news flow in intraday component models for trading activity and volatility," NCER Working Paper Series 106, National Centre for Econometric Research.
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More about this item
Keywords
Information; Order flow; Macroeconomic announcements; Treasury futures;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
Statistics
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