Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature

European Physical Journal B

Volumn 57, Issue 1, 2007, Pages 81-87

  Gu, G F ^a   Chen, W ^b   Zhou, W X ^a,c  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b Shenzhen Stock Exchange   (China)

^c EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

CUBIC LAW; FIXED TIME INTERVAL; LINEAR PRICES; LOGARITHMIC PRICES; STOCK EXCHANGE;

FRACTALS; INDUSTRIAL ECONOMICS; PROBABILITY DISTRIBUTIONS; STATISTICAL METHODS;

FINANCIAL DATA PROCESSING;

EID: 34249911444     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2007-00158-7     Document Type: Article

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