Market impact with multi-timescale liquidity
Author:
Affiliation:
1. Ladhyx, UMR CNRS 7646, École Polytechnique, 91128Palaiseau Cedex, France.
2. Capital Fund Management, 23 rue de l’Université, 75007Paris, France.
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1444279
Reference23 articles.
1. A fractional reaction–diffusion description of supply and demand
2. The non-linear market impact of large trades: evidence from buy-side order flow
3. Price Impact
4. How Markets Slowly Digest Changes in Supply and Demand
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