Cross-response in correlated financial markets: individual stocks

@article{Wang2016CrossresponseIC,
  title={Cross-response in correlated financial markets: individual stocks},
  author={Shanshan Wang and Rudi Sch{\"a}fer and Thomas Guhr},
  journal={The European Physical Journal B},
  year={2016},
  volume={89},
  pages={1-16}
}
Abstract Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price response of one stock to the trades of other stocks in a correlated market, i.e. the cross-responses. How large is the impact of one stock on others and vice versa? – This impact of trades on the price change across stocks appears to be transient instead of permanent as we discuss from the viewpoint of market… Expand
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