94 citations · 605 across the 22 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
q-fin.ST2017★ 3 cited
Power-law tails in the distribution of order imbalance
T. Zhang, G. -F. Gu, H. -C. Xu +3
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of or…
q-fin.ST2017★ 13 cited
Linear and nonlinear correlations in order aggressiveness of Chinese stocks
Peng Yue, Hai-Chuan Xu, Wei Chen +2
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the…
q-fin.CP2017★ 1 cited
An empirical behavioural order-driven model with price limit rules
Gao-Feng Gu, Xiong Xiong, Hai-Chuan Xu +4
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in t…