Grasping asymmetric information in price impacts

Shanshan Wang (), Sebastian Neusüß and Thomas Guhr
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Shanshan Wang: Fakultät für Physik, Universität Duisburg–Essen
Sebastian Neusüß: Deutsche Börse AG
Thomas Guhr: Fakultät für Physik, Universität Duisburg–Essen

The European Physical Journal B: Condensed Matter and Complex Systems, 2018, vol. 91, issue 11, 1-15

Abstract: Abstract The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market. We quantify the asymmetries of the distributions and of the market structures of cross-impacts, and find that the impacts across the market are asymmetric and non-random. Using spectral statistics and Shannon entropy, we visualize the asymmetric information in price impacts. Also, we introduce an entropy of impacts to estimate the randomness between stocks. We show that the useful information is encoded in the impacts corresponding to small entropy. The stocks with large number of trades are more likely to impact others, while the less traded stocks have higher probability to be impacted by others.

Keywords: Statistical; and; Nonlinear; Physics (search for similar items in EconPapers)
Date: 2018
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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DOI: 10.1140/epjb/e2018-80599-5

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