637 citations · 1.5k across the 9 of their papers we have counts for
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q-fin.ST2010★ 637 cited
Cross-correlations between volume change and price change
Boris Podobnik, Davor Horvatic, Alexander M. Petersen +1
In finance, one usually deals not with prices but with growth rates , defined as the difference in logarithm between two consecutive prices. Here we consider not the trading vol…
q-fin.ST2009★ 44 cited
Quantitative law describing market dynamics before and after interest-rate change
Alexander M. Petersen, Fengzhong Wang, Shlomo Havlin +1
We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change…