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Optimal Order Exposure in a Limit Order Market

Chen, Yuanyuan - 2017

Hidden orders are offered by many lit trading venues for participants to hide the true size of their orders. To help a risk-neutral trader executing a target volume to minimize the execution cost by benefitting from the setting of a limit order market allowing hidden orders, we propose a...

Persistent link: https://www.econbiz.de/10012960559

Stock liquidity and return distribution : evidence from the London Stock Exchange

Wang, Andong; Hudson, Robert; Rhodes, Mark J.; Zhang, Sijia - In: Finance research letters 39 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012804976

The impact of order flow on event study returns : new evidence from zero-leverage firms

Zhang, Sijia; Gregoriou, Andros - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 627-634

Persistent link: https://www.econbiz.de/10012655584

Hwang, Chuan-yang; Zhang, Shaojun; Zhu, Yanjian - In: Advances in Pacific Basin business, economics, and finance 6 (2018), pp. 1-25

Persistent link: https://www.econbiz.de/10012582178

The business cycle and profitability of trading strategies

Yan, Yuxing; Zhang, Shaojun - In: Frontiers of business research in China : selected … 10 (2016) 4, pp. 525-547

Persistent link: https://www.econbiz.de/10011848573

Float, speculation and stock price : evidence from the split share structure reform in China

Hwang, Chuan-yang; Zhang, Shaojun; Zhu, Yanjian - In: The Singapore economic review : journal of the Economic … 63 (2018) 3, pp. 701-729

Persistent link: https://www.econbiz.de/10011959096

Research on the application of Fama-French five-factor model in American stock market before and during the COVID-19 pandemic

Zhang, Shu - In: Proceedings of the 5th International Conference on …, (pp. 358-367). 2022

Persistent link: https://www.econbiz.de/10013350115

Asymmetric news effects on cryptocurrency liquidity : an event study perspective

Yue, Wei; Zhang, Sijia; Zhang, Qiang - In: Finance research letters 41 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10013335980

Measuring the multi-scale price transmission effects from crude oil to energy stocks : a cascaded view

Xi, Zenglei; Yu, Jinxiu; Sun, Qingru; Zhao, Wenqi; Wang, He - In: International review of financial analysis 90 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014470341

Asymmetric post earnings announcement drift and order flow imbalance : the impact on stock market returns

Zhang, Sijia; Gregoriou, Andros; Wu, He - In: International review of financial analysis 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014544070