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Statistical properties of market collective responses

Author

Listed:
  • Shanshan Wang

    (Fakultät für Physik, Universität Duisburg–Essen)

  • Sebastian Neusüß

    (Deutsche Börse AG)

  • Thomas Guhr

    (Fakultät für Physik, Universität Duisburg–Essen)

Abstract

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 internal connections 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.

Suggested Citation

  • Shanshan Wang & Sebastian Neusüß & Thomas Guhr, 2018. "Statistical properties of market collective responses," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 91(8), pages 1-11, August.
    • Handle: RePEc:spr:eurphb:v:91:y:2018:i:8:d:10.1140_epjb_e2018-80665-0
    DOI: 10.1140/epjb/e2018-80665-0
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    Cited by:

    1. Juan C. Henao-Londono & Sebastian M. Krause & Thomas Guhr, 2021. "Price response functions and spread impact in correlated financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 94(4), pages 1-20, April.

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    Keywords

    Statistical and Nonlinear Physics;

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