Admati A., Pfleiderer P. A Theory of Intraday Patterns: Volume and Price Variability

The Review of Financial Studies 1988, Volume 1, number 1, pp. 3-40This article develops a theory in which concentrated-trading patterns arise endogenously as a result 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.1988 The Review of Financial Studies 0021-9398/88/5904-013