Market impact and trading profile of hidden orders in stock markets-Reference-Cited by-同舟云学术

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Market impact and trading profile of hidden orders in stock markets

Published:2009-12-01 Issue:6 Volume:80 Page:
ISSN:1539-3755
Container-title:Physical Review E
language:en
Short-container-title:Phys. Rev. E

Author:

Moro Esteban,Vicente Javier,Moyano Luis G.,Gerig Austin,Farmer J. Doyne,Vaglica Gabriella,Lillo Fabrizio,Mantegna Rosario N.

Publisher

American Physical Society (APS)

Subject

Industrial and Manufacturing Engineering,Metals and Alloys,Strategy and Management,Mechanical Engineering

Link

http://harvest.aps.org/v2/journals/articles/10.1103/PhysRevE.80.066102/fulltext

Reference32 articles.

1. Mutual Fund Flows and Performance in Rational Markets

2. Master curve for price-impact function

3. More statistical properties of order books and price impact

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5. When is cross impact relevant?;Quantitative Finance;2024-02

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