An-Sing Chen, Hung-Gay Fung, Erin H. C. Kao. The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets. Mathematics and Computers in Simulation, 79(3):429-436, 2008. [doi]
@article{ChenFK08,
title = {The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets},
author = {An-Sing Chen and Hung-Gay Fung and Erin H. C. Kao},
year = {2008},
doi = {10.1016/j.matcom.2008.01.045},
url = {http://dx.doi.org/10.1016/j.matcom.2008.01.045},
tags = {C++},
researchr = {https://researchr.org/publication/ChenFK08},
cites = {0},
citedby = {0},
journal = {Mathematics and Computers in Simulation},
volume = {79},
number = {3},
pages = {429-436},
}