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Empirical shape function of limitorder books in the Chinese stock market

上传者: 2020-05-14 06:17:42上传 PDF文件 387.14KB 热度 17次
Empiricalshapefunctionoflimit-orderbooksintheChinesestockmarket,顾高峰,陈炜,Wehaveanalyzedthestatisticalprobabilitiesoflimit-orderbook(LOB)shapethroughbuildingthebookusingtheultra-high-frequencydatafrom23liquidstockstradedontheShe
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