Empirical regularities of opening call auction in Chinese stock market

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 2, 2010, Pages 278-286

  Gu, Gao Feng ^a,b   Ren, Fei ^a,b   Ni, Xiao Hui ^a,b   Chen, Wei ^c   Zhou, Wei Xing ^a,b,d  

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

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

^c Shenzhen Stock Exchange   (China)

^d INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

Author keywords

Econophysics; Limit order book; Microstructure theory; Opening call auction; Order driven markets

Indexed keywords

COMMERCE; CORRELATION THEORY; FINANCIAL MARKETS;

DETRENDED FLUCTUATION ANALYSIS; ECONOPHYSICSS; LIMIT ORDER BOOK; MICROSTRUCTURE THEORY; OPENING CALL AUCTION; PROBABILITY DENSITY FUNCTION (PDF); SHENZHEN STOCK EXCHANGES; STATISTICAL REGULARITY;

PROBABILITY DENSITY FUNCTION;

EID: 70349738080     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.09.019     Document Type: Article

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