63 citations · 281 across the 16 of their papers we have counts for
17 papers
Two Price Regimes in Limit Order Books: Liquidity Cushion and Fragmented Distant Field
Sebastian M. Krause, Edgar Jungblut, Thomas Guhr
The distribution of liquidity within the limit order book is essential for the impact of market orders on the stock price and the emergence of price shocks. Limit orders are charac…
Price response functions and spread impact in correlated financial markets
Juan C. Henao-Londono, Sebastian M. Krause, Thomas Guhr
Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effe…
Uncovering the Dynamics of Correlation Structures Relative to the Collective Market Motion
Anton J. Heckens, Sebastian M. Krause, Thomas Guhr
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary pa…
Repulsion in controversial debate drives public opinion into fifty-fifty stalemate
Sebastian M. Krause, Fritz Weyhausen-Brinkmann, Stefan Bornholdt
Opinion formation is a process with strong implications for public policy. In controversial debates with large consequences, the public opinion is often trapped in a fifty-fifty st…
Controlling systemic risk - network structures that minimize it and node properties to calculate it
Sebastian M. Krause, Hrvoje Štefančić, Vinko Zlatić +1
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm,…
Emergence of stylized facts during the opening of stock markets
Sebastian M. Krause, Jonas A. Fiegen, Thomas Guhr
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the o…