Average cross-responses in correlated financial markets
نویسندگان
چکیده
منابع مشابه
Hedging of Options in Jump-Diffusion Markets with Correlated Assets
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متن کاملar X iv : 1 60 3 . 01 58 6 v 1 [ q - fi n . ST ] 4 M ar 2 01 6 Average cross – responses in correlated financial market
There are non–vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross– responses. The two average cross–responses show different characteristic dependences on the time lag. The passive cross–response exhibits a shorter response period with sizeable volatilities, while...
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ژورنال
عنوان ژورنال: The European Physical Journal B
سال: 2016
ISSN: 1434-6028,1434-6036
DOI: 10.1140/epjb/e2016-70137-0