The market nanostructure origin of asset price time reversal asymmetry
From MaRDI portal
Publication:4991075
DOI10.1080/14697688.2020.1753883zbMath1466.91355arXiv1901.00834OpenAlexW3027428620MaRDI QIDQ4991075
Marcus Cordi, Serge Kassibrakis, Damien Challet
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.00834
Related Items
Identification of information networks in stock markets, Unveiling the relation between herding and liquidity with trader lead-lag networks
Cites Work
- Unnamed Item
- Colored minority games
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
- There's more to volatility than volume
- Time reversal invariance in finance
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Forecasting stock market returns over multiple time horizons
- Turbulence in financial markets: the surprising explanatory power of simple cascade models
- Market heterogeneities and the causal structure of volatility
- How news affects the trading behaviour of different categories of investors in a financial market
- Heterogeneous volatility cascade in financial markets
- STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET
