2 papers
q-fin.TR2025
Push-response anomalies in high-frequency S&P 500 price series
Dmitrii Vlasiuk, Mikhail Smirnov
We test the hypothesis that consecutive intraday price changes in the most liquid U.S. equity ETF (SPY) are conditionally nonrandom. Using NBBO event-time data for about 1,500 regu…
nlin.AO2005
On Some Processes and Distributions in a Collective Model of Investors' Behavior
Kyrylo Shmatov, Mikhail Smirnov
This article considers a model for alternative processes for securities prices and compares this model with actual return data of several securities. The distributions of returns t…