Determining the information share of liquidity and order flows in extreme price movements
Liang Wu, Hengzhi Liu, Chang Liu, Yunshen Long
| Year of publication: |
2020
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|---|---|
| Authors: | Wu, Liang ; Liu, Hengzhi ; Liu, Chang ; Long, Yunshen |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 93.2020, p. 559-575
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| Subject: | Extreme price movements | Information share | Liquidity | Price discovery | Börsenkurs | Share price | Theorie | Theory | Informationsverbreitung | Information dissemination | Liquidität | Marktliquidität | Market liquidity | Informationsverhalten | Information behaviour | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.09.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430242