Gu, Gao-Feng; Chen, Wei; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 495-502
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency … data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We find that the returns …