Shanshan Wang

Faculty of Physics, University of Duisburg-Essen

Lotharstrasse 1

Duisburg, 47048

Germany

SCHOLARLY PAPERS

7

DOWNLOADS

298

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

Trading Strategies for Stock Pairs Regarding to the Cross-Impact Cost

Number of pages: 16 Posted: 12 Jan 2017 Last Revised: 07 Jul 2017
Shanshan Wang
Faculty of Physics, University of Duisburg-Essen
Downloads 83 (298,315)
Citation 1

Abstract:

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econophysics, price impact, market microstructure, optimal execution

2.

Microscopic Understanding of Cross-Responses between Stocks: A Two-Component Price Impact Model

Market Microstructure and Liquidity (2017) 3:1850009 , DOI: 10.1142/S2382626618500090
Number of pages: 28 Posted: 05 Jan 2017 Last Revised: 23 Apr 2019
Shanshan Wang and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 60 (356,503)
Citation 3

Abstract:

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cross-impact, market microstructure, statistical analysis, complex systems, econophysics

3.

Cross-Response in Correlated Financial Markets: Individual Stocks

Eur. Phys. J. B (2016) 89: 105
Number of pages: 17 Posted: 05 Jan 2017 Last Revised: 07 Jan 2017
Shanshan Wang, Rudi Schäfer and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 54 (375,124)

Abstract:

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cross-impact, market microstructure, statistical analysis, complex systems, econophysics

4.

Average Cross-Responses in Correlated Financial Market

The European Physical Journal, 2016, 89:207, doi./10.1140/epjb/e2016-70137-0
Number of pages: 13 Posted: 05 Jan 2017
Shanshan Wang, Rudi Schäfer and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 39 (428,325)

Abstract:

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cross-impact, market microstructure, statistical analysis, complex systems, econophysics

5.

Local Fluctuations of the Signed Traded Volumes and the Dependencies of Demands: A Copula Analysis

J. Stat. Mech. (2018) 033407; doi. 10.1088/1742-5468/aab01c
Number of pages: 20 Posted: 28 Jun 2017 Last Revised: 20 Apr 2018
Shanshan Wang and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 27 (482,420)

Abstract:

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copula density, volume imbalance, local fluctuations, two-phase behavior

6.

Grasping Asymmetric Information in Market Impacts

Eur. Phys. J. B (2018) 91: 266, DOI: 10.1140/epjb/e2018-80599-5
Number of pages: 23 Posted: 23 Oct 2017 Last Revised: 23 Apr 2019
Shanshan Wang, Sebastian Neusüß and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, Deutsche Börse AG and University of Duisburg-Essen
Downloads 20 (521,876)

Abstract:

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Market Impact, Asymmetric Information, Eigenvalue Spectra, Entropy, Network

7.

Statistical Properties of Market Collective Responses

Eur. Phys. J. B 91: 191, 2018, DOI: 10.1140/epjb/e2018-80665-0
Number of pages: 17 Posted: 20 Nov 2017 Last Revised: 21 Sep 2018
Shanshan Wang, Sebastian Neusüß and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen, Deutsche Börse AG and University of Duisburg-Essen
Downloads 15 (551,276)

Abstract:

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market impact, liquidity, singular value decomposition, statistical properties