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dc.contributor.authorChen, Miaoxinzh_CN
dc.contributor.authorBao, Ruizh_CN
dc.contributor.author陈淼鑫zh_CN
dc.date.accessioned2015-07-22T02:06:30Z
dc.date.available2015-07-22T02:06:30Z
dc.date.issued2011zh_CN
dc.identifier.citationProceedings - 2011 4th International Conference on Business Intelligence and Financial Engineering, BIFE 2011, 2011:371-375zh_CN
dc.identifier.other20120414706408zh_CN
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/85667
dc.descriptionConference Name:4th International Conference on Business Intelligence and Financial Engineering, BIFE 2011. Conference Address: Wuhan, Hubei, China. Time:October 17, 2011 - October 18, 2011.zh_CN
dc.descriptionCent. China Normal Univ., Dep. Inf. Manage.; National Natural Science Foundation of China (NSFC); Cent. Forecast. Sci. (CEFS) Chin. Acad. Sci. (CAS); Key Lab. Manage., Decis. Inf. Syst. (MADIS) CAS; Electronic Commerce Research Center of Hubei Provincezh_CN
dc.description.abstractIn this paper, we investigate the relationship between market-wide order imbalance and market returns and volatility. The results show that contemporaneous order imbalance exerts an extremely significant impact on market returns and volatility, but lagged order imbalance has no power of prediction for market returns when not accompanied by its contemporaneous counterpart, and the positive part of lagged order imbalance has no power of prediction for market volatility either. ? 2011 IEEE.zh_CN
dc.language.isoen_USzh_CN
dc.publisherIEEE Computer Societyzh_CN
dc.source.urihttp://dx.doi.org/10.1109/BIFE.2011.130zh_CN
dc.subjectProfessional aspectszh_CN
dc.titleThe impact of order imbalance on market returns and volatility: Evidence from Chinese stock marketzh_CN
dc.typeConferencezh_CN


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