most citedQuantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature

46 citations · 46 across the 1 of their papers we have counts for

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1 paper

physics.soc-ph2007★ 46 cited

Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature

Gao-Feng Gu, Wei Chen, Wei-Xing Zhou

The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three…