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What really causes large price changes?

, , , , и . Quantitative Finance, 4 (4): 383--397 (2004)

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Arne Lillo

Peter Lillotte

Wolf-Christian Lillotte

Fabrizio Catanese

Fabrizio Gabbiani

 

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Volatility in financial markets: stochastic models and empirical results, , , и . Physica A: Statistical Mechanics and its Applications, 314 (1-4): 756--761 (01.11.2002)Dynamics of a financial market index after a crash, и . Physica A: Statistical Mechanics and its Applications, 338 (1-2): 125--134 (01.07.2004)There's more to volatility than volume, , и . Quantitative Finance, 6 (5): 371--384 (2006)Why is equity order flow so persistent?, , , и . Journal of Economic Dynamics and Control, (08.02.2015)Estimating the Total Volume of Queries to Google., и . WWW, стр. 1051-1060. ACM, (2019)Recommender Systems for Banking and Financial Services., , и . RecSys Posters, том 1905 из CEUR Workshop Proceedings, CEUR-WS.org, (2017)On the origin of power-law tails in price fluctuations, и . Quantitative Finance, 4 (1): 7--11 (2004)What really causes large price changes?, , , , и . Quantitative Finance, 4 (4): 383--397 (2004)Ensemble properties of securities traded in the NASDAQ market, и . Physica A: Statistical Mechanics and its Applications, 299 (1-2): 161--167 (01.10.2001)Degree stability of a minimum spanning tree of price return and volatility, , , и . Physica A: Statistical Mechanics and its Applications, 324 (1-2): 66--73 (01.06.2003)