32 citations · 161 across the 14 of their papers we have counts for
4 papers · 1 filter
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…
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…