Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?-Reference-Cited by-同舟云学术

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Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?

Published:2021-10-25 Issue:1 Volume:22 Page:1-21
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Besson Paul¹,Lasnier Matthieu²

Affiliation:

1. Quantitative Research, Euronext, Courbevoie, France

2. Quantitative Research, Kepler Cheuvreux, Paris, France

Funder

Kepler Cheuvreux

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1942535

Reference21 articles.

1. Market Impacts and the Life Cycle of Investors Orders

2. The Anatomy of Trading Algorithms

3. The non-linear market impact of large trades: evidence from buy-side order flow

4. Modeling Transaction Costs When Trades May Be Crowded: A Bayesian Network Using Partially Observable Orders Imbalance

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1. Strategic Execution Trajectories;Applied Mathematical Finance;2022-07-04

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