29 citations · 45 across the 3 of their papers we have counts for
3 papers
cond-mat.other2004★ 1 cited
Short-term market reaction after extreme price changes of liquid stocks
Adam G. Zawadowski, Gyorgy Andor, Janos Kertesz
In our empirical study, we examine the price of liquid stocks after experiencing a large intraday price change using data from the NYSE and the NASDAQ. We find significant reversal…
cond-mat.stat-mech2004★ 29 cited
Large price changes on small scales
A. G. Zawadowski, J. Kertesz, G. Andor
In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 minute intraday price changes on the NYSE and the NASDAQ. We find that due to stron…
cond-mat.stat-mech2002★ 15 cited
Price Drops, Fluctuations, and Correlation in a Multi-Agent Model of Stock Markets
A. G. Zawadowski, R. Karadi, J. Kertesz
In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized…