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Statistical properties of market collective responses

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Abstract

We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the internal connections of price responses and of liquidity responses across the whole market. The statistical characteristics of their singular vectors are well described by the t location-scale distribution. Furthermore, we discuss the relation between prices and liquidity with respect to their overlapping factors. The factors of price and liquidity changes are non-random when these factors are related to the traded volumes. This means that the traded volumes play a critical role in the price change induced by the liquidity change. In contrast, the two kinds of factors are weakly overlapping when they are related to the trade signs and signed traded volumes. Hence, an imbalance of liquidity is related to the price change.

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Authors and Affiliations

  1. Fakultät für Physik, Universität Duisburg–Essen, Lotharstraße 1, 47048, Duisburg, Germany

    Shanshan Wang & Thomas Guhr

  2. Deutsche Börse AG, Frankfurt, Germany

    Sebastian Neusüß

Authors
  1. Shanshan Wang
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  2. Sebastian Neusüß
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  3. Thomas Guhr
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Correspondence to Shanshan Wang.

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Wang, S., Neusüß, S. & Guhr, T. Statistical properties of market collective responses. Eur. Phys. J. B 91, 191 (2018). https://doi.org/10.1140/epjb/e2018-80665-0

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  • DOI: https://doi.org/10.1140/epjb/e2018-80665-0

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