Evidence of price change volatility induced by the number and proportion of orders of a given size.: An article from: Australian Journal of Management

This digital document is an article from Australian Journal of Management, published by Australian Graduate School Of Management on June 1, 1998. The length of the article is 8249 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

From the supplier: The size and number of orders has a significant impact on price change volatility. Orders that are larger in size and number generate greater volatility, while orders that are smaller in size and number decrease volatility. However, order number and proportion and medium-sized orders seem to be uncorrelated with price change volatility.

Citation Details
Title: Evidence of price change volatility induced by the number and proportion of orders of a given size.
Author: David M. Walsh
Publication:Australian Journal of Management (Refereed)
Date: June 1, 1998
Publisher: Australian Graduate School Of Management
Volume: v23 Issue: n1 Page: p39(17)

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