Quantifying stock-price response to demand fluctuations
نویسندگان
چکیده
منابع مشابه
Quantifying stock-price response to demand fluctuations.
We empirically address the question of how stock prices respond to changes in demand. We quantify the relations between price change G over a time interval Deltat and two different measures of demand fluctuations: (a) Phi, defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) Omega, defined as the difference in number of shares traded in buyer- and...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2002
ISSN: 1063-651X,1095-3787
DOI: 10.1103/physreve.66.027104