Quantifying bid-ask spreads in the Chinese stock market using limit-order book data - Intraday pattern, probability distribution, long memory, and multifractal nature
, and
Eur. Phys. J. B, 57 1 (2007) 81-87
Published online: 01 June 2007
DOI: 10.1140/epjb/e2007-00158-7