Empirical properties of inter-cancellation durations in the Chinese stock market
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- Martin Magris & Jiyeong Kim & Esa Rasanen & Juho Kanniainen, 2017. "Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis," Papers 1711.03534, arXiv.org.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-22 (All new papers)
- NEP-FMK-2014-03-22 (Financial Markets)
- NEP-MST-2014-03-22 (Market Microstructure)
- NEP-TRA-2014-03-22 (Transition Economics)
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