Mu, Guo-Hua; Zhou, Wei-Xing; Chen, Wei; Kertesz, Janos - arXiv.org - 2010
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of...