Large price changes on small scales
نویسندگان
چکیده
In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 minute intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore we find that volatility which increases sharply at the event decays according to a power law with an exponent of ≈ 0.4, i.e., much faster than the autocorrelation function of volatility.
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تاریخ انتشار 2004