Order flow dynamics around extreme price changes on an emerging stock market (original) (raw)

2010

Abstract

Abstract. We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the bid–ask spread and the volume imbalance increase before the extreme events and decay slowly as a power law, which forms a well-established peak.

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