英文标题：
《Statistical properties of market collective responses》
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作者：
Shanshan Wang, Sebastian Neus\\\"u{\\ss} and Thomas Guhr
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最新提交年份：
2017
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英文摘要：
  We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses across the whole market. The statistical characteristics of their singular vectors are well described by the $t$ location-scale distribution. Furthermore, we discuss the relation between prices and liquidity with respect to their overlapping factors. The factors of price and liquidity changes are non-random when these factors are related to the traded volumes. This means that the traded volumes play a critical role in the price change induced by the liquidity change. In contrast, the two kinds of factors are weakly overlapping when they are related to the trade signs and signed traded volumes. Hence, an imbalance of liquidity is related to the price change.
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中文摘要：
我们实证分析了价格和流动性对交易迹象、交易量和签署交易量的反应。利用奇异值分解，我们探讨了整个市场中价格响应和流动性响应之间的相互联系。其奇异向量的统计特征由$t$位置尺度分布很好地描述。此外，我们还讨论了价格与流动性之间的重叠因素关系。当价格和流动性变化因素与交易量相关时，这些因素是非随机的。这意味着交易量在流动性变化引起的价格变化中起着关键作用。相比之下，当这两类因素与交易迹象和签署交易量相关时，它们的重叠程度较弱。因此，流动性失衡与价格变化有关。
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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
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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
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