英文标题：
《Cross-response in correlated financial markets: individual stocks》
---
作者：
Shanshan Wang, Rudi Sch\\\"afer and Thomas Guhr
---
最新提交年份：
2016
---
英文摘要：
  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 efficiency. Furthermore, we compare the self-responses on different scales and the self- and cross-responses on the same scale. We also find that the cross-correlation of the trade signs turns out to be a short-memory process.
---
中文摘要：
以前关于股票价格对交易的反应的研究主要集中在单个股票的动力学上，即他们讨论了自我反应。我们实证研究了相关市场中一只股票对其他股票交易的价格反应，即交叉反应。一只股票对其他股票的影响有多大，反之亦然？——正如我们从市场效率的角度讨论的那样，交易对股票价格变化的影响似乎是暂时的，而不是永久的。此外，我们还比较了不同量表上的自我反应以及同一量表上的自我和交叉反应。我们还发现，贸易符号的相互关联是一个短暂的记忆过程。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--

---
PDF下载：
-->