64 citations · 73 across the 4 of their papers we have counts for
4 papers
Are volatility correlations in financial markets related to Omori processes occurring on all scales?
Philipp Weber, Fengzhong Wang, Irena Vodenska-Chitkushev +2
We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods…
Analysis of aggregated tick returns: evidence for anomalous diffusion
Philipp Weber
In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the…
Large stock price changes: volume or liquidity?
Philipp Weber, Bernd Rosenow
We analyze large stock price changes of more than five standard deviations for i) TAQ data for the year 1997 and ii) order book data from the Island ECN for the year 2002. We argue…
Order book approach to price impact
Philipp Weber, Bernd Rosenow
Buying and selling stocks causes price changes, which are described by the price impact function. To explain the shape of this function, we study the Island ECN orderbook. In addit…