Analýza intradenních vzorců volatility a likvidity

This bachelor's thesis examines the dynamics of intraday volatility and liquidity patterns of selected stocks on the American equity market. The aim of the thesis was to verify the stability of the so-called U-shape effect and to analyze the interaction between price variability and trading activity under current market conditions in 2024. The analysis is conducted on a sample of 23 stocks from the NYSE and NASDAQ exchanges, covering eight different sectors. High-frequency tick data aggregated into five-minute intervals were used to calculate volatility. To ensure the robustness of estimates against microstructure noise, a realized kernel estimator was applied. Liquidity was quantified through trading volume and transaction intensity. The results confirm the statistical significance of the U-shape for all examined stocks, with the morning spike exhibiting the highest degree of information asymmetry. Correlation analysis supported the Mixture of Distributions Hypothesis (MDH), which posits a common information factor driving both volatility and volume. A significant finding is the identification of a negative relationship between the overall volatility of a stock and the depth of its seasonal profile; technology stocks (particularly NVIDIA) exhibit higher persistence of volatility throughout the day, while defensive stocks show a more pronounced dominance of the morning spike. The thesis demonstrates that intraday periodicity remains a stable feature of the market even in the era of dominant algorithmic trading.