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Price Impact of Order Book Events by r38612742 is a document available to read on EtoBox.
This paper examines the price impact of order book events in an order-driven market, specifically focusing on its implications for volatility modeling and prediction using data from the Shanghai Stock Exchange. The authors find that both limit and market orders significantly affect price changes and that incorporating price impact into traditional volatility models improves forecasting accuracy. The study bridges the gap between market microstructure and volatility prediction, highlighting the importance of
- Author
- r38612742
- Language
- EN