Kang, Bo Soo; Ryu, Doojin; Ryu, Doowon - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 167-173
This study re-examines the recently documented phase-shifting behaviour of financial markets using an alternative measure, an intraday return-based measure. While most previous studies on phase-shifting behaviour adopt the volume-imbalance measure proposed by Plerou et al. (2003), we find that...