6 citations · 29 across the 6 of their papers we have counts for
6 papers
Market Mill Dependence Pattern in the Stock Market: Multiscale Conditional Dynamics
Sergey Zaitsev, Alexander Zaitsev, Andrei Leonidov +1
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous effo…
Market Mill Dependence Pattern in the Stock Market: Modeling of Predictability and Asymmetry via Multi-Component Conditional Distribution
Andrei Leonidov, Vladimir Trainin, Alexander Zatsev +1
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price…
Market Mill Dependence Pattern in the Stock Market: Individual Portraits
Andrei Leonidov, Vladimir Trainin, Alexander Zaitsev +1
This paper continues a series of studies of dependence patterns following from properties of the bivariate probability distribution P(x,y) of two consecutive price increments x (pu…
Market Mill Dependence Pattern in the Stock Market: Distribution Geometry, Moments and Gaussization
Andrei Leonidov, Vladimir Trainin, Alexander Zaitsev +1
This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intra…
Market Mill Dependence Pattern in the Stock Market: Asymmetry Structure, Nonlinear Correlations and Predictability
Andrei Leonidov, Vladimir Trainin, Alexander Zaitsev +1
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reve…
On collective non-gaussian dependence patterns in high frequency financial data
Andrei Leonidov, Vladimir Trainin, Alexander Zaitsev
The analysis of observed conditional distributions of both lagged and simultaneous intraday price increments of a basket of stocks reveals phenomena of dependence - induced volatil…