We explore the role of trade volume, trade direction, and the duration between trades in explaining price dynamics and volatility using an Asymmetric Autoregressive Conditional Duration model applied to intraday transactions data. Our results suggest that volume, direction and duration are important determinants of price dynamics, while duration is also an important determinant of volatility. However, the impact of volume and direction on volatility is marginal after controlling for duration, and the impact of volume on volatility appears to be confined to periods of infrequent trading.
Anthony S. Tay, Christopher Ting, Yiu Kuen Tse & Mitch Warachka (2011) The impact of transaction duration, volume and direction on price dynamics and volatility, Quantitative Finance, 11:3, 447-457, https://doi.org/10.1080/14697680903405742
Routledge/Taylor & Francis
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
This is an Accepted Manuscript of an article published in Quantitative Finance, volume 11, issue 3, in 2011, available online at https://doi.org/10.1080/14697680903405742 . It may differ slightly from the final version of record.