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20112022
most citedStatistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets

94 citations · 288 across the 14 of their papers we have counts for

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Showing 2016 · q-fin.TRShow all

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q-fin.TR2016★ 3 cited

Limit-order book resiliency after effective market orders: Spread, depth and intensity

Hai-Chuan Xu, Wei Chen, Xiong Xiong +3

In order-driven markets, limit-order book (LOB) resiliency is an important microscopic indicator of market quality when the order book is hit by a liquidity shock and plays an esse…