440 citations · 5k across the 111 of their papers we have counts for
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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…
q-fin.TR2007★ 59 cited
Universal price impact functions of individual trades in an order-driven market
Wei-Xing Zhou
The trade size has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered m…