University of Duisburg-Essen
Financial Markets, Order Book, Market Microstructure
cross-impact, market microstructure, statistical analysis, complex systems, econophysics
Credit Risk, Non-Stationarity, Statistical Analysis, Complex Systems, Econophysics, Random Matrix Approach
Credit Risk, Financial Markets, Non-Stationarity, Random Matrices, Structural Models, Wishart Model
Econophysics, Ultrafast Extreme Event, Flash Crash, High Frequency Trading, Recovery Rate
copula density, volume imbalance, local fluctuations, two-phase behavior
Market Impact, Asymmetric Information, Eigenvalue Spectra, Entropy, Network
Market Microstructure, Financial Markets, Stylized Facts, Seasonalities, Non-Stationarity
market impact, liquidity, singular value decomposition, statistical properties
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File name: SSRN-id2795524.pdf
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nonstationarity, random matrix theory, Merton model, value-at-risk
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