| 简介： | We study systematic trading activities at ultra-high frequencies and their implications for price formation. A continuous-time, high-dimensional factor model is proposed for stock trading volume. This model features a Common Trading Intensity (CTI) factor that captures common trading flow. We develop estimation and inference theories for studying the fine dynamics of CTI. Using trading volume data from U.S. equities, we find strong negative temporal dependence in short-horizon CTI movements, pointing to the presence of intraday systematic liquidity frictions. Moreover, large negative CTI shocks coincide with intraday price reversals, whereas large positive CTI shocks coincide with price continuation. Both effects are highly transitory and unwind rapidly, suggesting efficient intraday systematic liquidity rebalancing. This is based on joint work with Songze Shi. |