Dresden 2017 – wissenschaftliches Programm
SOE 3.3: Vortrag
Montag, 20. März 2017, 11:45–12:00, GÖR 226
Microscopic understanding of price cross-responses between stocks — •Shanshan Wang and Thomas Guhr — Fakultät für Physik, Universität Duisburg-Essen, Lotharstraße 1, 47048 Duisburg, Germany
Previous studies have discovered the existence of price cross-responses between stocks in correlated financial markets by empirical analysis. However, the cross-responses are not yet understood on a microscopic level. We therefore construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and by the information about other stocks, we introduce a self- and a cross-impact function of time lags. We then model the average cross-response functions for individual stocks by employing the impact functions of time lags, the impact functions of traded volumes and the trade-sign correlators. We find the self- and cross-impact functions are indispensable to compensate amplification effects which are due to the sign correlators integrated over time. We further quantify and interpret the price impacts of time lags in terms of temporary and permanent components.