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A Theory of Intraday Patterns: Volume and Price Variability

Anat R. Admati and Paul Pfleiderer
Review of Financial Studies
January, 1988
Vol. 1, Issue 1, Pages 3-40

This article develops a theory in which concentrated-trading patterns arise endogenously as a results of the strategic behavior of liquidity traders and informed traders. Our results provide a partial explanation for some of the recent empirical findings concerning the patterns of volume and price variability in intraday transaction data.