2 papers
cond-mat.other2004
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
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…