Trading Imbalance in Chinese Stock Market-A High-Frequency View.

ABSTRACT: Although an imbalance of buying and selling profoundly affects the formation of market trends, a fine-granularity investigation of this perplexity of trading behavior is still missing. Instead of using existing entropy measures, this paper proposed a new indicator based on transaction dataset that enables us to inspect both the direction and the magnitude of this imbalance at high frequency, which we call "polarity". The polarity aims to measure the unevenness of the very essence trading desire based on the most micro decision making units. We investigate the relationship between the polarity and the return at both market-level and stock-level and find that the autocorrelated polarities cause a positive relation between lagged polarities and returns, while the current polarity is the oppos

SUBMITTER: Lu S 

PROVIDER: S-EPMC7517523 | biostudies-literature | 2020 Aug

REPOSITORIES: biostudies-literature