Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price response of one stock to the trades of other stocks in a correlated market, i.e. the cross-responses. How large is the...

Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts which are remarkably stable. It is thus an intriguing...

A key factor of analysing the financial market are multivariate return time series which are gained by stock prices. The distributions of empiric data displays heavy tailed behaviour which cannot be characterised by a normal distribution. This fact also entails that we encounter non-stationarity...