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Analysis of stock market volatility : adjusted VPIN with high-frequency data

Yang, Haijun; Feng, Xue - In: International review of economics & finance : IREF 75 (2021), pp. 210-222

Persistent link: https://www.econbiz.de/10012692470

The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity

Yang, Haijun; Ge, Hengshun; Luo, Ying - In: Research in international business and finance 53 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012548917

The optimal strategies of competitive high-frequency traders and effects on market liquidity

Ge, Hengshun; Yang, Haijun; Doukas, John A. - In: International review of economics & finance : IREF 91 (2024), pp. 653-679

Persistent link: https://www.econbiz.de/10014492246

An MA-MRR model for transaction-level analysis of high-frequency trading processes

Zhang, Qiang; Lu, Zu-di; Liu, Shancun; Yang, Haijun; … - In: Journal of management science and engineering 9 (2024) 1, pp. 53-61

The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...

Persistent link: https://www.econbiz.de/10014504715

Frequent batch auction versus continuous time auction under order cancellation and maker-taker fee

Ge, Hengshun; Yang, Haijun - 2025

Persistent link: https://www.econbiz.de/10015337899