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Dynamic Relations between Order Imbalance, Volatility and Return of Top Losers

Dynamic Relations between Order Imbalance, Volatility and Return of Top Losers. Authors: Yong-Chern Su, Han-Ching Huang, Po-Hsin Kuo and Peiwen Chen (National Taiwan University) Discussant: Yin-Feng Gau (National Central University) NTU Finance Conference 2008. Summary.

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Dynamic Relations between Order Imbalance, Volatility and Return of Top Losers