6 citations · 25 across the 5 of their papers we have counts for
5 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: 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…