325 citations · 830 across the 4 of their papers we have counts for
3 papers · 1 filter
Quantifying Stock Price Response to Demand Fluctuations
Vasiliki Plerou, Parameswaran Gopikrishnan, Xavier Gabaix +1
We address the question of how stock prices respond to changes in demand. We quantify the relations between price change over a time interval and two different measures of…
Statistical Properties of Share Volume Traded in Financial Markets
Parameswaran Gopikrishnan, Vasiliki Plerou, Xavier Gabaix +1
We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded…
Economic Fluctuations and Diffusion
Vasiliki Plerou, Parameswaran Gopikrishnan, Luis. A. Nunes Amaral +2
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the r…