Determining the information share of liquidity and order flows in extreme price movements
Year of publication: |
2020
|
---|---|
Authors: | Wu, Liang ; Liu, Hengzhi ; Liu, Chang ; Long, Yunshen |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 93.2020, p. 559-575
|
Subject: | Extreme price movements | Information share | Liquidity | Price discovery | Theorie | Theory | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Preis | Price |
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