most citedStatistical Signatures in Times of Panic: Markets as a Self-Organizing System

3 citations · 3 across the 1 of their papers we have counts for

collaborators

1 paper

q-fin.ST2009★ 3 cited

Statistical Signatures in Times of Panic: Markets as a Self-Organizing System

Lisa Borland

We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is…