43 citations · 75 across the 5 of their papers we have counts for
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cond-mat2004★ 2 cited
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…
cond-mat2003★ 2 cited
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…
cond-mat2003★ 1 cited
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…