Investors have been working hard to find the best trading strategy. Previous studies suggest that order imbalance can be a state variable in explaining cross sectional stock return. In this article, we examine dynamic relations between order imbalance, volatility and stock return of top gainers....

This study investigates the convergence process toward efficiency of daily top gainers. The convergence process toward efficiency is much clearer as a result of using a GARCH(1, 1) model compared to the OLS model, and exhibits a monotonic decline as the time interval increases. The...

This paper investigates the empirical relation between order imbalance and intraday NTD/USD exchange rate dynamics. Using one-year high frequency data, we demonstrate that interbank order imbalances have substantial explanatory power for concurrent exchange rate returns both on the daily and...