# Price response in correlated financial markets: empirical results

@article{Wang2016PriceRI, title={Price response in correlated financial markets: empirical results}, author={Shanshan Wang and Rudi Schafer and Thomas Guhr}, journal={arXiv: Statistical Finance}, year={2016} }

Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks. How large is the impact of one stock on others and vice versa? -- This impact of trades on the price change across stocks appears to be transient instead of permanent. Performing different averages, we distinguish active and passive responses. The two average responses show different characteristic dependences on… Expand

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