23 citations · 23 across the 2 of their papers we have counts for
2 papers
q-fin.GN2015
Quantile Correlations: Uncovering temporal dependencies in financial time series
Thilo A. Schmitt, Rudi Schäfer, Holger Dette +1
We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S\&P…
q-fin.TR2012★ 23 cited
Microscopic understanding of heavy-tailed return distributions in an agent-based model
Thilo A. Schmitt, Rudi Schäfer, Michael C. Münnix +1
The distribution of returns in financial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large pric…