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