Zeming Li

University of Southampton

University Rd.

Southampton SO17 1BJ, Hampshire SO17 1LP

United Kingdom

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Scholarly Papers (1)

1.

Intraday Time Series Momentum: Global Evidence and Links to Market Characteristics

Journal of Financial Markets, Forthcoming
Number of pages: 62 Posted: 10 Oct 2019 Last Revised: 08 Jan 2021
University of Southampton, University of Nottingham and ICMA Centre, Henley Business School
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Abstract:

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High frequency trading, Intraday, International markets, Momentum, Market characteristics