Ren, Fei; Zhong, Li-Xin - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 8, pp. 2667-2677
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in the Chinese stock market in 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the...