Analysis of trade packages in the Chinese stock market

DOI10.1080/14697688.2013.765957zbMath1281.91198arXiv1103.1526OpenAlexW2012088594MaRDI QIDQ5397444

Wei-Xing Zhou, Fei Ren

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.1526

zbMATH Keywords

scalingeconophysicslimit ordersmulti-factor modelsempirical time series analysis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Portfolio theory (91G10)

Cites Work

• Power-Law Distributions in Empirical Data
• Optimal execution with nonlinear impact functions and trading-enhanced risk

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