Advanced search
Publication Cover
Applied Economics Letters Volume 17, 2010 - Issue 13
Submit an article Journal homepage
139
Views
7
CrossRef citations to date
0
Altmetric
Original Articles

Order imbalances explain 90% of returns of Nikkei 225 futures

Meng Li Graduate School of Systems and Information Engineering, University of Tsukuba, 1-1-1 Tennodai, Tsukuba, Ibaraki, JapanCorrespondence[email protected]
,
Misao Endo Central Research Institute of Electric Power Industry, Socio-Economic Research Center, 2-11-1 Iwato-kita, Komae, Tokyo, Japan
,
Shiwei Zuo Japan Dragon Network Co., Ltd., 8F Forich Building, 10-6 Odemma-cho, Nihonbashi, Chuo, Tokyo, Japan
&
Kazuo Kishimoto Graduate School of Systems and Information Engineering, University of Tsukuba, 1-1-1 Tennodai, Tsukuba, Ibaraki, Japan
Pages 1241-1245 | Published online: 27 Jul 2009

Citations (7)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Wael Louhichi. (2012) Does trading activity contain information to predict stock returns? Evidence from Euronext Paris. Applied Financial Economics 22:8, pages 625-632.
Read now

Articles from other publishers (6)

Abhinava Tripathi, Alok Dixit & Vipul Vipul. (2019) Liquidity of financial markets: a review. Studies in Economics and Finance 37:2, pages 201-227.
Crossref
Michael Weigerding & Michael Hanke. (2018) Drivers of seasonal return patterns in German stocks. Business Research 11:1, pages 173-196.
Crossref
Michael Hanke & Michael Weigerding. (2015) Order flow imbalance effects on the German stock market. Business Research 8:2, pages 213-238.
Crossref
Meng Li, Xiaofeng Hui, Misao Endo & Kazuo Kishimoto. (2014) A quantitative model for intraday stock price changes based on order flows. Journal of Systems Science and Complexity 27:1, pages 208-224.
Crossref
Meng Li & Kazuo Kishimoto. (2010) Testing whether the Nikkei225 best bid/ask price path follows the first order discrete Markov chain - an approach in terms of the total “$\rho$-variation" -. JSIAM Letters 2:0, pages 103-106.
Crossref
Shiwei Zuo, Meng Li, Kazuo Kishimoto & Misao Endo. (2009) A Queuing Model for a Continuous Double-Auction Trading System. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.