Dynamic Relation between Intraday Return and Order Imbalance
博士 === 國立臺灣大學 === 財務金融學研究所 === 94 === Chapter 1 Time Varing GARCH and Nested Causality Relations between Intraday Stock Return and Order Imbalance in Different Market Periods Abstract This paper examines the relation between stock return and order imbalance by intraday data for a sample of NASDAQ-1...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/26888209357283900757 |