In this study we investigate various well-known time-independent models of asset returns being simple normal distribution, Student t-distribution, Lévy, truncated Lévy, general stable distribution, mixed diffusion jump, and compound normal distribution. For this we use Standard and Poor's 500...

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market...