Mechanical vs. informational components of price impact
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DOI: 10.1140/epjb/e2006-00384-5
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- J. Doyne Farmer & Neda Zamani, 2006. "Mechanical vs. informational components of price impact," Papers physics/0608271, arXiv.org, revised Sep 2006.
References listed on IDEAS
- Sanford Grossman, 1989. "The Informational Role of Prices," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572141, December.
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Cited by:
- Shanshan Wang, 2017. "Trading strategies for stock pairs regarding to the cross-impact cost," Papers 1701.03098, arXiv.org, revised Jul 2017.
- Zoltán Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren, 2012. "The price impact of order book events: market orders, limit orders and cancellations," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1395-1419, September.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
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89.65.Gh Economics; econophysics; financial markets; business and management;All these keywords.
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