116 citations · 149 across the 4 of their papers we have counts for
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q-fin.ST2009★ 17 cited
Empirical regularities of opening call auction in Chinese stock market
Gao-Feng Gu, Fei Ren, Xiao-Hui Ni +2
We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distributio…
q-fin.ST2007★ 5 cited
Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks
Xiao-Hui Ni, Wei-Xing Zhou
We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spre…