Li, Meng; Endo, Misao; Zuo, Shiwei; Kishimoto, Kazuo - In: Applied Economics Letters 17 (2010) 13, pp. 1241-1245
This article introduces a new kind of order imbalance - limit order imbalance - in addition to the conventional order imbalance to explain the intraday stock returns. The conventional order imbalance together with our new order imbalance are shown to explain more than 90% of intraday returns of...