An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books
Year of publication: |
2013-07-16
|
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Authors: | Chung, Huimin ; Gao, Cheng ; Lu, Jie ; Mizrach, Bruce |
Institutions: | Department of Economics, Rutgers University-New Brunswick |
Subject: | limit order book | Chinese stock market | microstructure | VAR model |
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