779 citations · 1.5k across the 18 of their papers we have counts for
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q-fin.PR2023
NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years
William H. Press
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dolla…
q-fin.ST2023
Optimal Cross-Correlation Estimates from Asynchronous Tick-by-Tick Trading Data
William H. Press
Given two time series, A and B, sampled asynchronously at different times {t_A_i} and {t_B_j}, termed "ticks", how can one best estimate the correlation coefficient ρbetween change…