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…
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…