366 citations · 1.4k across the 25 of their papers we have counts for
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q-fin.TR2016★ 13 cited
Quantifying immediate price impact of trades based on the -shell decomposition of stock trading networks
Wen-Jie Xie, Ming-Xia Li, Hai-Chuan Xu +3
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We c…
q-fin.TR2010★ 76 cited
Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
Alexander M. Petersen, Fengzhong Wang, Shlomo Havlin +1
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatilit…