×

Cross-correlations between volume change and price change. (English) Zbl 1203.91208


MSC:

91B69 Heterogeneous agent models
91G70 Statistical methods; risk measures
PDFBibTeX XMLCite
Full Text: DOI arXiv

References:

[1] 34 pp 676– (1966) · doi:10.2307/1909776
[2] FINANC ANAL J 26 pp 104– (1970)
[3] 41 pp 135– (1973) · Zbl 0308.90011 · doi:10.2307/1913889
[4] 44 pp 305– (1976) · Zbl 0319.90014 · doi:10.2307/1912726
[5] The review of economics and statistics 60 pp 268– (1978) · doi:10.2307/1924980
[6] J FUTURES MARKETS 1 pp 303– (1981) · doi:10.1002/fut.3990010303
[7] 51 pp 485– (1983) · Zbl 0495.90026 · doi:10.2307/1912002
[8] J BUSINESS 59 pp 319– (1986) · doi:10.1086/296330
[9] J FINANC QUANT ANAL 22 pp 109– (1987) · doi:10.2307/2330874
[10] J FINANCE 45 pp 221– (1990) · doi:10.1111/j.1540-6261.1990.tb05088.x
[11] Gallant, Review of Financial Studies 5 (2) pp 199– (1992) · doi:10.1093/rfs/5.2.199
[12] J ECONOMET 74 pp 177– (1996) · Zbl 0862.90045 · doi:10.1016/0304-4076(95)01755-0
[13] Gabaix, Nature; Physical Science (London) 423 (6937) pp 267– (2003) · doi:10.1038/nature01624
[14] Q J ECON 121 pp 461– (2006) · Zbl 1179.91265 · doi:10.1162/qjec.2006.121.2.461
[15] APPL FINANC ECON 6 pp 463– (1996) · doi:10.1080/096031096333917
[16] EUR. PHYS. J. B 3 pp 139– (1998)
[17] PHYS REV E 60 pp 5305– (1999) · doi:10.1103/PhysRevE.60.5305
[18] PHYS REV E 60 pp 6519– (1999) · doi:10.1103/PhysRevE.60.6519
[19] J BUSINESS 36 pp 394– (1963) · doi:10.1086/294632
[20] PHYS REV E 62 pp 4493R– (2000) · doi:10.1103/PhysRevE.62.R4493
[21] PHYS REV E 76 pp 046109– (2007) · doi:10.1103/PhysRevE.76.046109
[22] PHYS REV E 79 pp 068101– (2009) · doi:10.1103/PhysRevE.79.068101
[23] PHYS REV E 79 pp 068102– (2009) · doi:10.1103/PhysRevE.79.068102
[24] QUANT FINANCE 1 pp 262– (2001) · doi:10.1088/1469-7688/1/2/308
[25] EUR. PHYS. J. B 51 pp 145– (2005)
[26] PHYS REV E 73 pp 046109– (2006) · doi:10.1103/PhysRevE.73.046109
[27] QUANT FINANCE 314 pp 7C– (2004)
[28] QUANT FINANCE 4 pp 11C– (2004) · doi:10.1088/1469-7688/4/1/C02
[29] EUR. PHYS. J. B 27 pp 177– (2002)
[30] PHYS REV E 60 pp 1390– (1999) · doi:10.1103/PhysRevE.60.1390
[31] PNAS 102 (26) pp 9424– (2005) · doi:10.1073/pnas.0502613102
[32] PHYS REV E 73 pp 026117– (2006) · doi:10.1103/PhysRevE.73.026117
[33] PHYS REV E 77 pp 016109– (2008) · doi:10.1103/PhysRevE.77.016109
[34] PHYS REV E 69 pp 056107– (2004) · doi:10.1103/PhysRevE.69.056107
[35] 3 pp 1163– (1975) · Zbl 0323.62033 · doi:10.1214/aos/1176343247
[36] J EMPIRICAL FINANCE 3 pp 15– (1996) · doi:10.1016/0927-5398(95)00020-8
[37] Podobnik, Physical Review Letters 100 (8) pp 084102– (2008) · doi:10.1103/PhysRevLett.100.084102
[38] PHYS REV E 49 pp 1685– (1994) · doi:10.1103/PhysRevE.49.1685
[39] PHYS REV E 64 pp 011114– (2001) · doi:10.1103/PhysRevE.64.011114
[40] J EMPIRICAL FINANCE 1 pp 83– (1993) · doi:10.1016/0927-5398(93)90006-D
[41] J ECONOMET 31 pp 307– (1986) · Zbl 0616.62119 · doi:10.1016/0304-4076(86)90063-1
[42] Physical Review Letters 81 pp 3275– (1998) · doi:10.1103/PhysRevLett.81.3275
[43] PHYS REV E 77 pp 056102– (2008) · doi:10.1103/PhysRevE.77.056102
[44] Nature; Physical Science (London) 379 pp 804– (1996) · doi:10.1038/379804a0
[45] Europhysics Letters 85 pp 50003– (2009) · doi:10.1209/0295-5075/85/50003
[46] J ECONOMET 73 pp 151– (1996) · Zbl 0960.62560 · doi:10.1016/0304-4076(95)01736-4
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.