We analyze a recently proposed spatial autoregressive model for stock returns and compare it to a one-factor model and the sample covariance matrix. The influence of refinements to these covariance estimation methods is studied. We employ power mapping as a noise reduction technique for the...

We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate K copula density function. We find that large local...