  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. Further, 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.
