Recent research on the response of stock prices to trading activity revealed long-lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the same time, in particular trading costs and price correlations. How the price response is measured depends on data set and research focus. However, it is important to clarify how the details of the price response definition modify the results. Here, we evaluate different price response implementations for the Trades and Quotes (TAQ) data set from the NASDAQ stock market and find that the results are qualitatively the same for two different definitions of time scale, but the response can vary by up to a factor of two. Furthermore, we show the key importance of the order between trade signs and returns, displaying the changes in the signal strength. Moreover, we confirm the dominating contribution of immediate price response directly after a trade, as we find that delayed responses are suppressed. Finally, we test the impact of the spread in the price response, detecting that large spreads have stronger impact.

最近有关股票价格对交易活动的反应的研究显示了长期影响，即使对不同公司的股票也是如此。这些结果暗示了价格形成以及同时交易许多股票时的非马尔可夫效应，尤其是交易成本和价格相关性。价格响应的衡量方式取决于数据集和研究重点。但是，弄清价格响应定义的详细信息如何修改结果非常重要。在这里，我们针对纳斯达克股票市场的交易和报价（TAQ）数据集评估了不同的价格响应实现方式，发现对于两种不同的时间尺度定义，结果在质量上是相同的，但是响应可能会有所不同的两个。此外，我们展示了商品标志和退货之间顺序的关键重要性，显示信号强度的变化。此外，由于发现延迟响应被抑制，因此我们立即确认交易后立即价格响应的主要贡献。最后，我们测试价差在价格响应中的影响，发现较大的价差具有更强的影响。