2 papers
q-fin.MF2024
Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players
Yufan Chen, Lan Wu, Renyuan Xu +1
Motivated by recent empirical findings on the periodic phenomenon of aggregated market volumes in equity markets, we aim to understand the causes and consequences of periodic tradi…
q-fin.TR2016
Equity Market Impact Modeling: an Empirical Analysis for Chinese Market
Shiyu Han, Lan Wu, Yuan Cheng
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price i…