32 citations · 161 across the 14 of their papers we have counts for
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q-fin.TR2016★ 8 cited
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…
q-fin.ST2016★ 32 cited
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…
q-fin.ST2016★ 25 cited
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…