✦ LIBER ✦

An empirical analysis of the Shanghai and Shenzhen limit order books

✍ Scribed by Chung, Huimin; Gao, Cheng; Lu, Jie; Mizrach, Bruce

Book ID: 122907719
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 148 KB
Volume: 34
Category: Article
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2012.11.055

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Empirical Analysis of Limit Order Market

Empirical Analysis of Limit Order Markets

✍ Hollifield, Burton; Miller, Robert A.; Sandås, Patrik 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 372 KB

Empirical shape function of limit-order

Empirical shape function of limit-order books in the Chinese stock market

✍ Gao-Feng Gu; Wei Chen; Wei-Xing Zhou 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 823 KB

The Effectiveness of Price Limits and St

The Effectiveness of Price Limits and Stock Characteristics: Evidence from the Shanghai and Shenzhen Stock Exchanges

✍ Gong-meng Chen; Oliver Meng Rui; Steven Shuye Wang 📂 Article 📅 2005 🏛 Springer US 🌐 English ⚖ 213 KB

Order book characteristics and the volum

Order book characteristics and the volume–volatility relation: Empirical evidence from a limit order market

✍ Randi Næs; Johannes A. Skjeltorp 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 260 KB

An empirical analysis of the benefits an

An empirical analysis of the benefits and limitations for restaurant franchisees

✍ Nerilee Hing 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 837 KB

The information content of an open limit

The information content of an open limit-order book

✍ Charles Cao; Oliver Hansch; Xiaoxin Wang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 215 KB

## Abstract Using data from the Australian Stock Exchange, the authors assess the information content of an open limit‐order book with a particular focus on the incremental information contained in the limit orders behind the best bid and offer. The authors find that the order book is moderately in