arXiv subjects
Publications and source records attributed to Bernd Rosenow.
We analyze large stock price changes of more than five standard deviations for i) TAQ data for the year 1997 and ii) order book data from the Island ECN for the year 2002. We argue that large price changes are not due to large trading volumes. Instead, we find that extreme price fluctuations are mainly caused by a low density of limit orders stored in the order book, i.e. a small liquidity.
Buying and selling stocks causes price changes, which are described by the price impact function. To explain the shape of this function, we study the Island ECN orderbook. In addition to transaction data, the orderbook contains information about potential supply and demand for a stock. The virtual price impact calculated from this information is four times stronger than the actual one and explains it only partially. However, we find a strong anticorrelation between price changes and order flow, which strongly reduces the virtual price impact and provides for a quantitative explanation of the empirical price impact function.
Most of the experiments on the quantum Hall effect (QHE) were made at approximately the same height above sea level. A future international comparison will determine whether the gravitational field $\mathbf{g}(x)$ influences the QHE. In the realm of (1 + 2)-dimensional phenomenological macroscopic electrodynamics, the Ohm-Hall law is metric independent (`topological'). This suggests that it does not couple to $\mathbf{g}(x)$. We corroborate this result by a microscopic calculation of the Hall conductance in the presence of a post-Newtonian gravitational field.
We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem in physical systems. We empirically investigate fluctuations and market friction for a major US stock and find support for our model calculations.
We develop a Chern-Simons theory to describe a two-dimensional electron gas in intermediate magnetic fields. Within this approach, inhomogeneous states emerge in analogy to the intermediate state of a superconductor. At half filling of the highest Landau level we find unidirectional charge-density-wave (CDW) solutions. With a semiclassical calculation we give an intuitive explanation of the change of CDW orientation in the presence of an in-plane magnetic field. An anisotropy in the electron band mass is suggested as a possible source of the reproducible orientation of the CDW.
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the 2-year period 1994-95 and (ii) 1-day price fluctuations of 422 US stocks for the 35-year period 1962-96. We find that the eigenvectors of C corresponding to the largest eigenvalues allow us to partition the set of all stocks into distinct subsets. These subsets are similar to conventionally-identified business sectors, and are stable for extended periods of time. Using a set of coupled stochastic differential equations, we argue how correlations between stocks might arise. Finally, we demonstrate that the sectors we identify are useful for the practical goal of finding an investment which earns a given return without exposure to unnecessary risk.
We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the statistics of most of the eigenvalues in the spectrum of C agree with the predictions of random matrix theory, but there are deviations for a few of the largest eigenvalues. We find that C has the universal properties of the Gaussian orthogonal ensemble of random matrices. Furthermore, we analyze the eigenvectors of C through their inverse participation ratio and find eigenvectors with large inverse participation ratios at both edges of the eigenvalue spectrum--a situation reminiscent of results in localization theory.