186 citations
- Columbia UniversityUS2 papers
- Fermi National Accelerator LaboratoryUS2 papers
- Princeton UniversityUS2 papers
- University of Duisburg-EssenDE2 papers
- University of OxfordGB2 papers
- Agenzia Spaziale ItalianaIT1 paper
- ARC Centre of Excellence for All-sky AstrophysicsAU1 paper
- Argonne National LaboratoryUS1 paper
- ASTRO-3DAU1 paper
- Astronomical Observatory of CapodimonteIT1 paper
- Astronomical Observatory of RomeIT1 paper
- Australian National UniversityAU1 paper
Showing 2017Show all
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q-fin.ST2017★ 6 cited
Statistical properties of market collective responses
Shanshan Wang, Sebastian Neusüß, Thomas Guhr
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interc…
q-fin.TR2017★ 3 cited
Grasping asymmetric information in market impacts
Shanshan Wang, Sebastian Neusüß, Thomas Guhr
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work o…