Order imbalance and individual stock returns: Theory and evidence
Author:
Publisher
Elsevier BV
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference41 articles.
1. A theory of intraday patterns;Admati;Review of Financial Studies,1988
2. Biases in computed returns;Blume;Journal of Financial Economics,1983
3. Order imbalances and stock price movements on October 19 and 20, 1987;Blume;Journal of Finance,1989
4. Futures trading, rational expectations, and the efficient markets hypothesis;Bray;Econometrica,1981
5. On technical analysis;Brown;Review of Financial Studies,1990
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