32 citations · 161 across the 14 of their papers we have counts for
15 papers
Transitions between quasi-stationary states in traffic systems: Cologne orbital motorways as an example
Shanshan Wang, Michael Schreckenberg, Thomas Guhr
Traffic systems can operate in different modes. In a previous work, we identified these modes as different quasi-stationary states in the correlation structure. Here, we analyze th…
Response functions as a new concept to study local dynamics in traffic networks
Shanshan Wang, Michael Schreckenberg, Thomas Guhr
Vehicle velocities in neighbouring road sections are correlated with memory effects. We explore the response of the velocities in the sequence of sections to a congestion in a give…
Identifying subdominant collective effects in a large motorway network
Shanshan Wang, Michael Schreckenberg, Thomas Guhr
In a motorway network, correlations between parts or, more precisely, between the sections of (different) motorways, are of considerable interest. Knowledge of flows and velocities…
Spatial Correlation Analysis of Traffic Flow on Parallel Motorways in Germany
Sebastian Gartzke, Shanshan Wang, Thomas Guhr +1
With the widely used method of correlation matrix analysis, this study reveals the change of traffic states on parallel motorways in North Rhine-Westphalia, Germany. In terms of th…
Collective behavior in the North Rhine-Westphalia motorway network
Shanshan Wang, Sebastian Gartzke, Michael Schreckenberg +1
To understand the dynamics on complex networks, measurement of correlations is indispensable. In a motorway network, it is not sufficient to collect information on fluxes and veloc…
Quasi-stationary states in temporal correlations for traffic systems: Cologne orbital motorway as an example
Shanshan Wang, Sebastian Gartzke, Michael Schreckenberg +1
Traffic systems are complex systems that exhibit non-stationary characteristics. Therefore, the identification of temporary traffic states is significant. In contrast to the usual…
Statistical properties of market collective responses
Shanshan Wang, Sebastian Neusüß, Thomas Guhr
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interc…
Grasping asymmetric information in market impacts
Shanshan Wang, Sebastian Neusüß, Thomas Guhr
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work o…
Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis
Shanshan Wang, Thomas Guhr
We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas…
Trading strategies for stock pairs regarding to the cross-impact cost
Shanshan Wang
We extend the framework of trading strategies of Gatheral [2010] from single stocks to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be de…
Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model
Shanshan Wang, Thomas Guhr
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the in…
Cross-response in correlated financial markets: individual stocks
Shanshan Wang, Rudi Schäfer, Thomas Guhr
Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price respons…
Average cross-responses in correlated financial market
Shanshan Wang, Rudi Schäfer, Thomas Guhr
There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active…
Price response in correlated financial markets: empirical results
Shanshan Wang, Rudi Schäfer, Thomas Guhr
Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks…
Testing the performance of technical trading rules in the Chinese market
Shan Wang, Zhi-Qiang Jiang, Sai-Ping Li +1
Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controve…