Determinants of immediate price impacts at the trade level in an emerging order-driven market
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- Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yong-Jie Zhang & Wei Chen & Wei-Xing Zhou, 2017. "An empirical behavioural order-driven model with price limit rules," Papers 1704.04354, arXiv.org.
- T. Zhang & G. -F. Gu & H. -C. Xu & X. Xiong & W. Chen & W. -X. Zhou, 2017. "Power-law tails in the distribution of order imbalance," Papers 1707.05550, arXiv.org.
- Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.
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- repec:eee:phsmap:v:483:y:2017:i:c:p:201-208 is not listed on IDEAS
- repec:kap:compec:v:50:y:2017:i:4:d:10.1007_s10614-016-9612-1 is not listed on IDEAS
- Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Computational experiments successfully predict the emergence of autocorrelations in ultra-high-frequency stock returns," Papers 1404.1051, arXiv.org, revised Feb 2018.
- Gao, Yan & Gao, Yao, 2015. "Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 293-307.
- Zhang, Wei & Bi, Zhengzheng & Shen, Dehua, 2017. "Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 345-355.
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- Yu-Lei Wan & Gang-Jin Wang & Zhi-Qiang Jiang & Wen-Jie Xie & Wei-Xing Zhou, 2018. "The cooling-off effect of price limits in the Chinese stock markets," Papers 1803.09422, arXiv.org.
- Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou, 2016. "Immediate price impact of a stock and its warrant: Power-law or logarithmic model?," Papers 1611.04091, arXiv.org.
- Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2012-02-15 (Agricultural Economics)
- NEP-ALL-2012-02-15 (All new papers)
- NEP-MST-2012-02-15 (Market Microstructure)
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