An analysis of price impact function in order-driven markets-Reference-Cited by-同舟云学术

An analysis of price impact function in order-driven markets

Published:2003-06 Issue:1-2 Volume:324 Page:146-151
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Iori G.,Daniels M.G.,Farmer J.D.,Gillemot L.,Krishnamurthy S.,Smith E.

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference7 articles.

1. Single curve collapse of the price impact function for the New York stock exchange;Lillo;Nature,2003

2. Marcus G. Daniels, J. Doyne Farmer, Giulia Iori, Eric Smith, How storing supply and demand affects price diffusion, http://xxx.lanl.gov/cond-mat/0112422.

3. E. Smith, J. Doyne Farmer, L. Gillemot, S. Krishnamurthy, Statistical theory of the continuous double auction, http://xxx.lanl.gov/cond-mat/0210475.

4. A simple microstructure model of double auction markets;Iori;Quantitative Finance,2002

5. Analyzing and modelling 1+1d markets;Challet;Physica A,2001

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