Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective

Author:

Zhang Wei,Bi Zhengzheng,Shen DehuaORCID

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference34 articles.

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2. The volume of transactions and price changes on the New York stock exchange;Crouch;Financ. Anal. J.,1970

3. A subordinated stochastic process model with finite variance for speculative prices;Clark;Econometrica,1973

4. Stock prices and heteroskedasticity;Morgan;J. Bus.,1976

5. The relationship between volume and price variability in futures markets;Cornell;J. Futures Mark.,1981

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