| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482196 | Physica A: Statistical Mechanics and its Applications | 2012 | 11 Pages |
Abstract
⺠The institutional sales have a larger price impact than purchases in the bear year 2003. ⺠The impact asymmetry exists in the trades surrounding institutional transaction. ⺠A new variable is proposed to explain the price impact of institutional transactions.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Fei Ren, Li-Xin Zhong,