Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, we find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a stylized framework, we propose an alternative explanation:...

What drives intraday reversal? Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, in this paper, we find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a stylized...

Information-based reinforcement learning is effective for trading and price discovery in limit order markets. It helps traders to learn a statistical equilibrium in which traders' expected payoffs and out-sample payoffs are highly correlated. Consistent with rational equilibrium models, the...

Using stock market data over 16 years for Chinese stock markets and over 3 years for U.S. stock markets, this study explores the explanatory power of early intraday market-wide up and down movements to the subsequent intraday returns within the same trading day. As compared to the closing of the...