10 citations · 13 across the 2 of their papers we have counts for
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q-fin.ST2010★ 10 cited
Market panic on different time-scales
Lisa Borland, Yoan Hassid
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time s…
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…