3 papers
q-fin.ST2009
Universal Behavior of Extreme Price Movements in Stock Markets
Miguel A. Fuentes, Austin Gerig, Javier Vicente
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of…
q-fin.TR2009
Market impact and trading profile of large trading orders in stock markets
Esteban Moro, Javier Vicente, Luis G. Moyano +5
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These…
q-fin.ST2009
Model for Non-Gaussian Intraday Stock Returns
Austin Gerig, Javier Vicente, Miguel A. Fuentes
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape a…