The Market Impact Puzzle-Reference-Cited by-同舟云学术

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The Market Impact Puzzle

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Kyle Albert S.,Obizhaeva Anna A.

Publisher

Elsevier BV

Reference18 articles.

1. Direct Estimation of Equity Market Impact;Robert Almgren;Risk,2005

2. Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

3. An Invariance Relationship in the Number of Buy-Sell Switching Points

4. Unravelling the Trading Invariance Hypothesis

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Practical Application of Deep Reinforcement Learning to Optimal Trade Execution;FinTech;2023-06-29

2. Bubble Dynamics;Financial Market Bubbles and Crashes;2021

3. Adverse Selection and Liquidity: From Theory to Practice;SSRN Electronic Journal;2018

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