There are non-vanishing price responses across different stocks in correlated financial markets. 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...

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...

This book concerns the use of concepts from statistical physics in the description of financial systems. These concepts are applied to financial time series to gain an understanding of the behavior of financial markets. The book will be of interest to physicists and economists and professionals...