Intraday pattern, probability distribution, long memory, and multifractal nature

Abstract

The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or the lowest selling price changes, and a… (More)

Topics

8 Figures and Tables

Slides referencing similar topics