Xiaozhou Zhou

University of Quebec at Montreal (UQAM) - School of Management (ESG)

Assistant professor

315, rue Sainte-Catherine Est

Montreal, Quebec H2X 3X2

Canada

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 47,861

SSRN RANKINGS

Top 47,861

in Total Papers Downloads

870

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Liquidity-Adjusted Intraday Value at Risk Modeling and Risk Management: An Application to Data from Deutsche Börse

Number of pages: 51 Posted: 21 Feb 2014 Last Revised: 01 Mar 2014
Georges Dionne, Maria Pacurar and Xiaozhou Zhou
HEC Montreal - Department of Finance, Dalhousie University - Rowe School of Business and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 280 (111,312)

Abstract:

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Liquidity-adjusted Intraday Value at Risk, Tick-by-tick data, Log-ACD-VARMA-MGARCH, Ex-ante Liquidity premium, Limit Order Book

2.

Effects of the Limit Order Book on Price Dynamics

Number of pages: 45 Posted: 14 Nov 2014
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 200 (155,560)
Citation 1

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Vector Autoregressive model, Ultra High Frequency data, Limit Order Book, Trading strategy

3.

Asymmetric Effects of the Limit Order Book on Price Dynamics

Number of pages: 48 Posted: 02 Dec 2016 Last Revised: 05 Dec 2016
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 163 (186,612)

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Ultra-high frequency data, Hasbrouck model, Limit order book slope, High-frequency trading, Asymmetric Effect

4.

The Dynamics of Ex-Ante High-Frequency Liquidity: An Empirical Analysis

Number of pages: 44 Posted: 21 Jan 2016
Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 89 (292,728)

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Decomposition model, Limit order book, Xetra Liquidity Measure (XLM), Ex-ante liquidity, LogACD process

5.

The Irrational and Rational Sides of IPO Flippers

Number of pages: 42 Posted: 19 Apr 2018 Last Revised: 03 May 2018
Maher Kooli and Xiaozhou Zhou
University of Quebec at Montreal (UQAM) - School of Management (ESG) and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 56 (377,761)

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Flipping Activity, IPO, Long-Term Performance, Disposition Effect, Divergence of Opinion

6.

The Dynamics of Ex-Ante Weighted Spread: An Empirical Analysis

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 70 Posted: 16 Nov 2016 Last Revised: 08 Nov 2019
Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 32 (473,645)

Abstract:

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Limit order book, Ex-ante weighted spread, Decomposition model, Liquidity, Resilience

7.

Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency

Number of pages: 67 Posted: 25 Jun 2019 Last Revised: 08 Nov 2019
Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 30 (478,585)

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Price efficiency, Price discovery, Limit Order Book, Trade size clustering, Stealth trading

8.

Trade Volume Choice and Price Discovery: Evidence from Deutsche Börse

Number of pages: 20 Posted: 09 Jan 2018
Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 20 (534,154)

Abstract:

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Limit order book, Trade size clustering, Price discovery, Stealth trading