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Liquidity cost of market orders in the Taiwan Stock Market : a study based on an order-driven agent-based artificial stock market

Huang, Yi-ping; Chen, Shu-Heng; Hung, Ming-chin; Yu, Tina - In: International review of financial analysis 23 (2012), pp. 72-80

Persistent link: https://www.econbiz.de/10009690114

On predictability and profitability : would GP induced trading rules be sensitive to the observed entropy of time series?

Navet, Nicolas; Chen, Shu-Heng - In: Natural computing in computational finance ; [the …, (pp. 197-210). 2008

Persistent link: https://www.econbiz.de/10009515168

An order-driven agent-based artificial stock market to analyze liquidity costs of market orders in the Taiwan stock market

Huang, Yi-ping; Chen, Shu-Heng; Hung, Min-chin; Yu, Tina - In: Natural computing in computational finance : volume 4, (pp. 163-179). 2011

Persistent link: https://www.econbiz.de/10009423546

Genetic programming and financial trading : how much about "what we know"

Chen, Shu-Heng; Kuo, Tzu-wen; Hoi, Kong-mui - In: Handbook of financial engineering, (pp. 99-154). 2008

Persistent link: https://www.econbiz.de/10003753645

Limit order book transparency and order aggressiveness at the closing call : lessons from the TWSE 2012 new information disclosure mechanism

Tseng, Yi-Heng; Chen, Shu-Heng - In: Pacific-Basin finance journal 35 (2015) 1, pp. 241-272

Persistent link: https://www.econbiz.de/10011538265

The competitions of time-varying and constant loadings in asset pricing models : empirical evidence and agent-based simulations

Lin, Hung-Wen; Huang, Jing-Bo; Lin, Kun-Ben; Chen, Shu-Heng - In: Journal of economic interaction and coordination 17 (2022) 2, pp. 577-612

Persistent link: https://www.econbiz.de/10013271952

An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange

Yamamoto, Ryuichi - In: Journal of empirical finance 29 (2014), pp. 369-383

Persistent link: https://www.econbiz.de/10011300454

Dynamic predictor selection and order splitting in a limit order market

Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792

Persistent link: https://www.econbiz.de/10012127237

Limit order submission risks, order choice, and tick size

Yamamoto, Ryuichi - In: Pacific-Basin finance journal 59 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012231313

Order Submission, Information Asymmetry, and Tick Size

Zhu, Hongyu; Yamamoto, Ryuichi - 2022

Our study investigates traders’ order submission strategies with varying market conditions under information asymmetry. It examines how a reduction in tick size affects informed traders’ order choices in response to changes in market conditions and subsequently influences the information...

Persistent link: https://www.econbiz.de/10013294289