Average cross-responses in correlated financial markets

Shanshan Wang (), Rudi Schäfer and Thomas Guhr
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Shanshan Wang: Fakultät für Physik, Universität Duisburg-Essen
Rudi Schäfer: Fakultät für Physik, Universität Duisburg-Essen
Thomas Guhr: Fakultät für Physik, Universität Duisburg-Essen

The European Physical Journal B: Condensed Matter and Complex Systems, 2016, vol. 89, issue 9, 1-13

Abstract: Abstract There are non-vanishing price responses across different stocks in correlated financial markets, reflecting non-Markovian features. 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 to the short-memory trade sign cross-correlations for each pair of stocks, the sign cross-correlations averaged over different pairs of stocks show long memory.

Keywords: Statistical; and; Nonlinear; Physics (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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DOI: 10.1140/epjb/e2016-70137-0

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