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Dimson, E. (1979) Risk Measurement When Shares Are Subject to Infrequent Trading. Journal of Financial Economics, 7, 197-226.
https://doi.org/10.1016/0304-405X(79)90013-8

has been cited by the following article:

• TITLE: Modelling Intervalling Effect of High Frequency Trading on Portfolio Volatility

  AUTHORS: Ki Hoon Hong

  KEYWORDS: Volatility, Fast Trading, Momentum Trading, Time Series Momentum, Intervalling Effect

  JOURNAL NAME: Theoretical Economics Letters, Vol.9 No.7, September 27, 2019

  ABSTRACT: This paper theoretically examines whether reducing the minimum trading interval could affect portfolio volatility. Modelling the underlying de-trended asset price with Ornstein Uhlenbeck process, the paper investigates the volatility of portfolios that employ buy and hold strategy and momentum strategy. The paper presents theoretical evidence that the fast trading could increase portfolio price fluctuation and hence potentially suggests another cost of high frequency trading, besides the well-known damages including herding, aggressive trading strategies dark pools, immediate-or-cancel type orders.