Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model
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Cited by:
- Shanshan Wang, 2017. "Trading strategies for stock pairs regarding to the cross-impact cost," Papers 1701.03098, arXiv.org, revised Jul 2017.
- Stephan Grimm & Thomas Guhr, 2018. "How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades," Papers 1812.09067, arXiv.org.
- M. Schneider & F. Lillo, 2019.
"Cross-impact and no-dynamic-arbitrage,"
Quantitative Finance, Taylor & Francis Journals, vol. 19(1), pages 137-154, January.
- Michael Schneider & Fabrizio Lillo, 2016. "Cross-impact and no-dynamic-arbitrage," Papers 1612.07742, arXiv.org, revised Aug 2017.
- Wang, Shanshan & Schreckenberg, Michael & Guhr, Thomas, 2023. "Response functions as a new concept to study local dynamics in traffic networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 626(C).
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This paper has been announced in the following NEP Reports:- NEP-MST-2016-09-25 (Market Microstructure)
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