Dynamic relations between order imbalance, return and volatility of extreme losers
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === This study adopts intraday return instead daily return used by previous researches to examine the effect of order imbalance not only on the individual stock return but also volatility among extreme losers. After that, we build up order imbalance-based trading st...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29777266800389298761 |