Is Market Impact a Measure of the Information Value of Trades? Market Response to Liquidity vs. Informed Trades-Reference-Cited by-同舟云学术

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Is Market Impact a Measure of the Information Value of Trades? Market Response to Liquidity vs. Informed Trades

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Waelbroeck Henri,Gomes Carla

Publisher

Elsevier BV

Reference64 articles.

1. Optimal execution strategies in limit order books with general shape functions;A Alfonsi;Quantitative Finance,2010

2. Does motivation matter when assessing trade performance? An analysis of mutual funds;G J Alexander;Review of Financial Studies,2007

3. Value under liquidation;R Almgren;Risk,1999

4. Optimal execution of portfolio transactions;R Almgren;Journal of Risk,2001

5. Direct estimation of equity market impact;R Almgren;Risk,2005

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. Mean field game of controls and an application to trade crowding;Mathematics and Financial Economics;2017-12-07

2. From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand;Journal of Statistical Mechanics: Theory and Experiment;2016-12-23

3. Financial Market Liquidity: Who is Acting Strategically?;SSRN Electronic Journal;2015

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