Are Intraday Volume and Volatility U‐Shaped After Accounting for Public Information?
研究东京谷物交易所期货合约的日内交易量和波动率模式，发现考虑公共信息后，这些模式基本消失，表明知情交易者时机选择并非日内模式的原因。
Abstract No matter how pronounced intraday patterns may appear, it is difficult to account for cross‐correlations among related assets when those assets trade continuously and simultaneously. Futures contracts are auctioned periodically and sequentially on the Tokyo Grain Exchange (TGE). Even though intraday TGE volume is U‐shaped, intraday volatility is closer to L‐shaped. After accounting for the public information in immediately preceding auctions for the same commodity, for earlier trading in other commodities, and for trading on overseas markets open overnight in Tokyo, the intraday patterns are effectively flat. Thus, the timing of privately informed traders cannot be the source of intraday patterns.