Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets-Reference-Cited by-同舟云学术

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Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Published:2011-10-31 Issue:2 Volume:1 Page:
ISSN:2160-3308
Container-title:Physical Review X
language:en
Short-container-title:Phys. Rev. X

Author:

Tóth B.,Lempérière Y.,Deremble C.,de Lataillade J.,Kockelkoren J.,Bouchaud J.-P.

Publisher

American Physical Society (APS)

Subject

General Physics and Astronomy

Link

http://harvest.aps.org/v2/journals/articles/10.1103/PhysRevX.1.021006/fulltext

Reference26 articles.

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

2. Continuous Auctions and Insider Trading

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4. Exact Solution to a Generalised Lillo–Mike–Farmer Model with Heterogeneous Order-Splitting Strategies;Journal of Statistical Physics;2024-05-07

5. Online learning of order flow and market impact with Bayesian change-point detection methods;Quantitative Finance;2024-05-05

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