The relation between relative order imbalance and intraday futures returns : an application of the quantile regression model of Taiwan
Year of publication: |
2011
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Authors: | Chang, Chiao-yi ; Shie, Fu-shuen |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 47.2011, 3, p. 69-87
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Subject: | intraday data | order imbalance | quantile regression model | Taiwan | Regressionsanalyse | Regression analysis | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Volatilität | Volatility |
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