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~person:"Chen, Ho-Chyuan"
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Volatility, Depth, and Order Composition: Evidence from a Pure Limit Order Futures Market
Chen, Ho-Chyuan
;
Wu, Juping
- In:
Emerging Markets Finance and Trade
45
(
2009
)
5
,
pp. 72-85
(volatility) decrease; a
market
order
increase (decrease) subsequently induces higher (lower) volatility; and a limit order …
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