| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5054213 | Economic Modelling | 2013 | 5 Pages |
Abstract
⺠We analyze the limit order books of the two major stock exchanges in China. ⺠The paper estimates market impact and we find it increases with trade size. ⺠Order book imbalances predict the next day's return.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Huimin Chung, Cheng Gao, Jie Lu, Bruce Mizrach,