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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★ 38 cited
Is the Quantum Hall Effect influenced by the gravitational field?
Friedrich W. Hehl, Yuri N. Obukhov, Bernd Rosenow
Most of the experiments on the quantum Hall effect (QHE) were made at approximately the same height above sea level. A future international comparison will determine whether the gr…
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…