Managing information in financial markets: a comparison of intraday distributions of trades on good, average and bad days

Summary form only given. The addition of wavelets to the toolbox of financial time series analysis raises the prospect of addressing a number of perennially interesting matters in finance. Perhaps most immediate is the possibility of analyzing conventional asset pricing models with intraday data examined in the frequency domain. A more narrow focus on intraday trading may allow deeper understanding of the process that market prices and returns follow in adapting to new information. A broader focus would include study of the price and volume relationships. A deeper comparison with conventional statistical methods would bring in the matter of autocorrelation as represented in both time and frequency domains