Crossover from Linear to Square-Root Market Impact-Reference-Cited by-同舟云学术

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Crossover from Linear to Square-Root Market Impact

Published:2019-03-15 Issue:10 Volume:122 Page:
ISSN:0031-9007
Container-title:Physical Review Letters
language:en
Short-container-title:Phys. Rev. Lett.

Author:

Bucci Frédéric,Benzaquen Michael,Lillo Fabrizio,Bouchaud Jean-Philippe

Funder

Fondation du Risque

Fondation de l’Ecole polytechnique

Capital Fund Management

Publisher

American Physical Society (APS)

Subject

General Physics and Astronomy

Link

http://harvest.aps.org/v2/journals/articles/10.1103/PhysRevLett.122.108302/fulltext

Reference23 articles.

1. Derivation of the Boltzmann Equation for Financial Brownian Motion: Direct Observation of the Collective Motion of High-Frequency Traders

2. Continuous Auctions and Insider Trading

3. Market impact and trading profile of hidden orders in stock markets

Cited by 20 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. A Bayesian theory of market impact;Journal of Statistical Mechanics: Theory and Experiment;2024-08-28

2. Do price trajectory data increase the efficiency of market impact estimation?;Quantitative Finance;2024-05-03

3. Stochastic Liquidity as a Proxy for Nonlinear Price Impact;Operations Research;2023-11-28

4. Decoding the Dynamics of Supply and Demand;Physics;2023-11-08

5. What Is Mature and What Is Still Emerging in the Cryptocurrency Market?;Entropy;2023-05-09

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