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- W2023757497 abstract "In this paper we perform a computationally intensive empirical investigation of interday homogeneity in the intraday rate of trading for six NYSE-traded stocks. For each of these six stocks, we test the homogeneity of the kth trading day to the remainder of the sample using a likelihood ratio test for each of the forty trading days in the sample. At the α=0.01 level, we find that about one-half of all trading days considered are homogeneous to the remainder of the sample, although this proportion varies across individual samples." @default.
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- W2023757497 date "2009-03-01" @default.
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- W2023757497 title "On the interday homogeneity in the intraday rate of trading" @default.
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- W2023757497 doi "https://doi.org/10.1016/j.matcom.2008.12.017" @default.
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