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Determining the information share of liquidity and order flows in extreme price movements
Wu, Liang; Liu, Hengzhi; Liu, Chang; Long, Yunshen - In: Economic modelling 93 (2020), pp. 559-575
Persistent link: https://www.econbiz.de/10012430242
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A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
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Market price determination : Interpreting quote order imbalance under zero-profit equilibrium
Long, Yunshen; Yan, Jingzhou; Wu, Liang; Long, Xingchen - In: Economic modelling 134 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014548479
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Modeling of the national economies in state-space : a fractional calculus approach
Škovránek, Tomáš; Podlubny, Igor; Petráš, Ivo - In: Economic modelling 29 (2012) 4, pp. 1322-1327
Persistent link: https://www.econbiz.de/10009667366
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Portfolio liquidation with delayed information
Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Economic modelling 126 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014461590
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Impact of heterogeneous beliefs and short sale constraints on security issuance decisions
Wang, Yahua; Xu, Feng; Hu, Angang - In: Economic modelling 30 (2013), pp. 539-545
Persistent link: https://www.econbiz.de/10009708852
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An empirical analysis of the Shanghai and Shenzhen limit order books
Chung, Huimin; Gao, Cheng; Lu, Jie; Mizrach, Bruce Marshall - In: Economic modelling 34 (2013), pp. 37-41
Persistent link: https://www.econbiz.de/10010360623
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Short sale constraints, disperse pessimistic beliefs and market efficiency : evidence from the Chinese stock market
Zhao, Zhongkuang; Li, Shuqi; Xiong, Heping - In: Economic modelling 42 (2014), pp. 333-342
Persistent link: https://www.econbiz.de/10010478100
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An analysis of impact of cancellation activity on market quality : evidence from China
Chu, Gang; Zhang, Yongjie; Zhang, Xiaotao - In: Economic modelling 102 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012796584
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The heterogeneous volume-volatility relations in the exchange-traded fund market : evidence from China
Xu, Liao; Gao, Han; Shi, Yukun; Zhao, Yang - In: Economic modelling 85 (2020), pp. 400-408
Persistent link: https://www.econbiz.de/10012210698