9 citations · 12 across the 2 of their papers we have counts for
2 papers
q-fin.TR2017★ 3 cited
Regularities and Irregularities in Order Flow Data
Martin Theissen, Sebastian M. Krause, Thomas Guhr
We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the or…
q-fin.ST2015★ 9 cited
Constructing Analytically Tractable Ensembles of Non-Stationary Covariances with an Application to Financial Data
Frederik Meudt, Martin Theissen, Rudi Schäfer +1
In complex systems, crucial parameters are often subject to unpredictable changes in time. Climate, biological evolution and networks provide numerous examples for such non-station…