29 citations · 29 across the 1 of their papers we have counts for
2 papers
q-fin.TR2018
Emergence of stylized facts during the opening of stock markets
Sebastian M. Krause, Jonas A. Fiegen, Thomas Guhr
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the o…
q-fin.TR2017★ 29 cited
Impact and Recovery Process of Mini Flash Crashes: An Empirical Study
Tobias Braun, Jonas A. Fiegen, Daniel C. Wagner +2
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extre…