"This book includes a collection of articles focusing on the widely-observed fandom phenomenon existing in contemporary consumer culture from multi-discipline perspective. It explores the characteristics fandom and the impact of fandom on any human activities, especially in brand building"--

In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and predicting stock volatility. This is motivated by the microstructure literature that focuses on the mechanics of price formation and its relevance to market quality. Using a...