activity
20072009
most citedEmpirical distributions of Chinese stock returns at different microscopic timescales

82 citations · 384 across the 8 of their papers we have counts for

collaborators
Showing 2007 · physics.soc-phShow all

1 paper · 2 filters

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…