Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price response of one stock to the trades of other stocks in a correlated market, i.e. the cross-responses. How large is the...

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...

All too often, measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However, this may not capture all facets of reality. This paper studies empirical dependencies of daily stock returns by their pairwise copulas. We investigate in...

A key factor of analysing the financial market are multivariate return time series which are gained by stock prices. The distributions of empiric data displays heavy tailed behaviour which cannot be characterised by a normal distribution. This fact also entails that we encounter non-stationarity...