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20072024
most citedStatistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets

94 citations

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q-fin.CP2017★ 1 cited

An empirical behavioural order-driven model with price limit rules

Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu +4

We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in t…