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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,341 papers · 148 categories

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0.3%0.5%0.8%0.4% · Mar 201619922001200920182026
7 results for “cross-responses”
Average cross-responses in correlated financial marketq-fin.ST

Study on cross-responses in correlated financial markets, distinguishing active and passive responses.

problem Understanding price responses across different stocks in correlated financial markets.
method Performed different averages to identify active and passive cross-responses, analyzed their characteristics and compared with self-responses.
result Active cross-responses have longer response periods compared to passive cross-responses.
financial marketscross-responsescorrelated marketsaverage responsesactive vs passive
2016-03-04abs ↗pdf ↗
Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Modelq-fin.TR

Modeling cross-impacts between stocks with a two-component price impact model.

problem Understanding cross-impacts between stocks in a correlated market.
method Introducing self- and cross-impact functions, modeling average cross-response functions, fixing impact function parameters, and quantifying time lag impacts.
result Cross- and self-correlators are connected with cross-responses, and time lag impacts are divided into temporary and permanent components.
stock cross-impactsprice impact modeltwo-component modelcross-responsestime lag
2016-09-16abs ↗pdf ↗
Price response in correlated financial markets: empirical resultsq-fin.ST

Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks. How large is the impact of one stock on others and vice versa? -- This impact of trades on the price change across stocks appears to be tr…

2015-10-12abs ↗pdf ↗
A New Traders' Game? -- Empirical Analysis of Response Functions in a Historical Perspectiveq-fin.TR

Study analyzes non-Markovian effects in financial markets over multiple years.

problem Understanding non-Markovian dynamics and trader interactions in financial markets.
method Empirical analysis of self-response functions and trade sign correlators for different stocks over multiple years.
result Significant variations in traders' interactions over time, indicating changes in market mechanisms.
financial marketstraders' gamenon-Markovian effectsresponse functionstrade sign correlators
2025-03-03abs ↗pdf ↗
Row-wise Fusion Regularization: An Interpretable Personalized Federated Learning Framework in Large-Scale Scenariosstat.ML

Proposes SROF for row-wise fusion in federated learning for multivariate responses.

problem Heterogeneous client models with shared variable-level structure.
method Sparse Row-wise Fusion (SROF) regularizer and RowFed algorithm.
result Empirically shows consistent error reduction and stronger variable-level cluster recovery.
federated learningpersonalized learningmultivariate responsesrow-wise fusionsparse regularization
2025-10-16abs ↗pdf ↗
How spread changes affect the order book: Comparing the price responses of order deletions and placements to tradesq-fin.TR

The study compares how deletions and trades affect stock prices and spread changes.

problem Understanding the impact of deletions and trades on stock prices and spread changes.
method Examined the frequencies of relative amounts of price changing events due to trades, deletions, and order placements.
result Deletions of orders open the bid-ask spread more often than trades and have a similar effect on prices as trades.
spread changesorder deletionsorder placementsstock pricesprice responses
2018-12-21abs ↗pdf ↗