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Trade size, order imbalance, and the volatility-volume relation

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Author Info
Chan, Kalok
Fong, Wai-Ming
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 57 (2000)
Issue (Month): 2 (August)
Pages: 247-273
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Handle: RePEc:eee:jfinec:v:57:y:2000:i:2:p:247-273

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
    Other versions:
  2. Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research. [Downloadable!]
  3. Katya Malinova & Andreas Park, 2009. "Trading Volume in Dealer Markets," Working Papers tecipa-357, University of Toronto, Department of Economics. [Downloadable!]
  4. Wei-Xing Zhou, 2007. "Universal price impact functions of individual trades in an order-driven market," Quantitative Finance Papers 0708.3198, arXiv.org, revised Apr 2008. [Downloadable!]
  5. Anthony Murphy & Marwan Izzeldin, 2005. "Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000)," Finance 0512005, EconWPA. [Downloadable!]
    Other versions:
  6. An-Sing Chen & Hui-Jyuan Gao & Mark Leung, . "Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses," Working Papers 0039, College of Business, University of Texas at San Antonio. [Downloadable!]
  7. Joseph K.W. Fung, 2006. "Order Imbalance and the Pricing of Index Futures," Working Papers 132006, Hong Kong Institute for Monetary Research. [Downloadable!]
  8. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
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