October 1, 2016 at 5:15 pm

Economics Seminar | Decomposing the Dynamics of Intraday Trading Activity and Trading Outcomes, Oct. 28

Dr. Yashar Heydari Barardehi

Dr. Yashar Heydari Barardehi

The Economics Seminar series presents Dr. Yashar Heydari, of Ohio University, on Oct. 28 at 3 p.m. in the Bentley Annex 302 Conference Room.

Heydari will discuss “Decomposing the dynamics of intraday trading activity and trading outcomes.”

He is Assistant Professor of Economics at Ohio University.

Abstract: We decompose intra-daily trading patterns in calendar time and trade time. In calendar time, trading volume, return volatility and price impacts all evolve according
to a [-shaped pattern over the trading day. In contrast, in trade time, return volatility and price impacts all fall over the trading day, even though trading activity is [-shaped. We find that controlling for predictable time-of-day patterns, return volatility and price impacts are inversely related to trading activity. We show that it is trading activity, and not its location (lit vs. dark venues) or source (e.g., institutional vs. other) that underlies these patterns. More fully, it is unexpected trading activity that matters early in the day, but expected activity matters more later. The time-of-day patterns are consistent with predictions of models featuring strategic inventory-rebalancing traders; and the trading activity relationships underscore the importance
of imperfectly competitive endogenous liquidity provision.

Upcoming Seminars

The seminars are on Fridays from 3 to 4 p.m. in the Bentley Annex 302 Conference Room.

Sept. 23—Cortney Rodet, Ohio University, “Poor Institutions as a Comparative Advantage”

Sept. 30—Gregory D’Angelo, West Virginia University

Oct. 7—Daniel Karney, Ohio University

Oct. 21­—­Phuong Ngo, Cleveland State University

Oct. 28—Yashar Heydari, Ohio University

Nov. 4—Trevon Logan, Ohio State University

Dec. 2—Philipp Lergetporer, Ifo Institute for Economic Research

Jan.  13—Will Neilson,  University of Tennessee

Feb. 17—Nick Dadzie, Ohio University

Feb. 24—Glenn Dutcher, Ohio University

March 3—Luke Fitzpatrick, Ohio University

March 17—Klara Peter, North Carolina—Chapel Hill

March 24—Matt McGill, Ohio University

April 7—Mehrnoush Shahhosseini, University of San Francisco

April 14—Olga Belskaya, Ohio University

April 21—Rania Gihleb, Pittsburgh University

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