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Article: Evidence of price change volatility induced by the number and proportion of orders of a given size.
- Article from:
- Australian Journal of Management
- Article date:
- June 1, 1998
- Author:
CopyrightCOPYRIGHT 1998 Australian Graduate School Of Management. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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Keywords:
VOLATILITY; ORDER SIZE; ORDER NUMBER; ORDERS v. TRADES.
1. Introduction
In recent years, academic research has concentrated heavily on the relationship between order flow and price change or return volatility. A better understanding of this relationship is essential in many areas, such as investment theory and practice, pricing of derivatives and the study of market microstructure. Many theoretical and empirical models have been developed which have varying levels of success in using order flow to explain volatility. From these, explanations for which components of the order flow are related to volatility (and which are not) are ...