57 citations · 110 across the 7 of their papers we have counts for
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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.CP2015★ 5 cited
Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
Frederik Meudt, Thilo A. Schmitt, Rudi Schäfer +1
When modelling stock market dynamics, the price formation is often based on an equilbrium mechanism. In real stock exchanges, however, the price formation is goverend by the order…