Empirical regularities of order placement in the Chinese stock market

@article{Gu2008EmpiricalRO,
  title={Empirical regularities of order placement in the Chinese stock market},
  author={Gao-Feng Gu and Wei Chen and Wei-Xing Zhou},
  journal={Physica A-statistical Mechanics and Its Applications},
  year={2008},
  volume={387},
  pages={3173-3182}
}
  • Gao-Feng Gu, Wei Chen, Wei-Xing Zhou
  • Published 2008
  • Mathematics, Economics, Physics
  • Physica A-statistical Mechanics and Its Applications
  • Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book… CONTINUE READING

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