6 citations · 9 across the 2 of their papers we have counts for
2 papers
q-fin.ST2021★ 3 cited
Foreign exchange markets: price response and spread impact
Juan Camilo Henao Londono, Thomas Guhr
We carry out a detailed large-scale data analysis of price response functions in the spot foreign exchange market for different years and different time scales. Such response funct…
q-fin.ST2020★ 6 cited
Price response functions and spread impact in correlated financial markets
Juan C. Henao-Londono, Sebastian M. Krause, Thomas Guhr
Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effe…