Ren, Fei; Zhou, Wei-Xing - In: Quantitative Finance 13 (2013) 7, pp. 1071-1089
<title>Abstract</title> This paper conducts an empirical study on trade packages of 23 stocks of the Chinese stock market, each composed of a sequence of consecutive purchases or sales of a stock. We investigate the probability distributions of the execution time, the number of trades, and the total trading...