英文标题：
《Average cross-responses in correlated financial market》
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作者：
Shanshan Wang, Rudi Sch\\\"afer and Thomas Guhr
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最新提交年份：
2016
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英文摘要：
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 the corresponding period for the active cross-response is longer. The average cross-responses for a given stock are evaluated either with respect to the whole market or to different sectors. Using the response strength, the influences of individual stocks are identified and discussed. Moreover, the various cross-responses as well as the average cross-responses are compared with the self-responses. In contrast, the short memory of trade sign cross-correlation for stock pairs, the sign cross-correlation has long memory when averaged over different pairs of stocks.
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中文摘要：
在相关的金融市场中，不同股票之间存在着非消失的价格反应。我们通过进行不同的平均值来进一步研究这个问题，确定主动和被动交叉反应。两个平均交叉反应对时间滞后表现出不同的特征依赖性。被动交叉反应的反应周期较短，波动性较大，而主动交叉反应的反应周期较长。给定股票的平均交叉反应是针对整个市场或不同部门进行评估的。利用响应强度，识别并讨论了单个股票的影响。此外，还将各种交叉反应以及平均交叉反应与自我反应进行了比较。相比之下，交易符号的短记忆对于股票对来说是互相关的，当对不同的股票对进行平均时，符号互相关具有长记忆。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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