2 citations · 5 across the 3 of their papers we have counts for
5 papers
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…
Predicting Multivariate Volatility
C. Reese, B. Rosenow
We suggest two classes of multivariate GARCH--models which are both easy to estimate and perform well in forecasting the covariance matrix of more than one hundred stocks. We apply…
Metal-Insulator Transition in Randomly Interacting Systems
B. Rosenow, R. Oppermann
We discuss a metal-insulator transition caused by random couplings of magnetic moments in itinerant systems. An analytic solution for the single particle Green function is derived…
Studies of the phase diagram of randomly interacting fermionic systems
R. Oppermann, B. Rosenow
We present details of the phase diagrams of fermionic systems with random and frustrated interactions, emphasizing the important role of the chemical potential. The insulating ferm…