Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects
构建了一个模型，内生地解释了买卖量、订单不平衡和预期价格变化的模式，为交易日内和交易日间的均值回报模式提供了理论解释。
This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.