Dataset Groups Activity Stream Immediate price impact of a stock and its warrant The dataset contains the detail transaction records when marketable orders match the orders at the opposite of limit order book. BibTex: @dataset{Hai-Chuan_Xu_and_Zhi-Qiang_Jiang_and_Wei-Xing_Zhou_2024, abstract = {The dataset contains the detail transaction records when marketable orders match the orders at the opposite of limit order book.}, author = {Hai-Chuan Xu and Zhi-Qiang Jiang and Wei-Xing Zhou}, doi = {10.57702/gqocgfyy}, institution = {No Organization}, keyword = {'limit order book', 'market impact', 'stock prices', 'warrant prices'}, month = {dec}, publisher = {TIB}, title = {Immediate price impact of a stock and its warrant}, url = {https://service.tib.eu/ldmservice/dataset/immediate-price-impact-of-a-stock-and-its-warrant}, year = {2024} }
