The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets
type: Item
instance of: scholarly article
title: The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets
zbMATH Open document ID: 1152.91494
author: An-Sing Chen
author: Hung-Gay Fung
author: Erin H. C. Kao
published in: Mathematics and Computers in Simulation
publication date: 2008-12-17T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 5383099
zbMATH Keywords: trading imbalance
zbMATH Keywords: information-based trading
zbMATH Keywords: hedging-based trading
zbMATH Keywords: Granger-causality test
zbMATH Keywords: impulse response analysis
MaRDI profile type: Publication
full work available at URL: j.matcom.2008.01.045
OpenAlex ID: W1980061905
cites work: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: The Price Variability-Volume Relationship on Speculative Markets
DOI: 10.1016/J.MATCOM.2008.01.045
description: scientific article; zbMATH DE number 5383099