6 citations · 9 across the 2 of their papers we have counts for
2 papers
q-fin.ST2017★ 6 cited
Statistical properties of market collective responses
Shanshan Wang, Sebastian Neusüß, Thomas Guhr
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interc…
q-fin.TR2017★ 3 cited
Grasping asymmetric information in market impacts
Shanshan Wang, Sebastian Neusüß, Thomas Guhr
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work o…