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Austin Gerig

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Austin Gerig, 2010. "Universal Laws and Economic Phenomena," Papers 1002.0377, arXiv.org, revised Jul 2010.

    Mentioned in:

    1. Should Economics adopt methods from Physics?
      by Economic Logician in Economic Logic on 2010-03-08 20:34:00

Working papers

  1. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.

    Cited by:

    1. Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.

  2. Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.

    Cited by:

    1. Ron Wallace, 2019. "Addressing the Malaise in Neoclassical Economics: A Call for Partial Models," Economic Thought, World Economics Association, vol. 8(1), pages 40-52, June.
    2. Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
    4. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
    5. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    6. Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.
    7. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.

  3. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.

    Cited by:

    1. Emilio Said, 2019. "How Option Hedging Shapes Market Impact," Papers 1910.05056, arXiv.org, revised Nov 2019.
    2. Emilio Said & Ahmed Bel Hadj Ayed & Damien Thillou & Jean-Jacques Rabeyrin & Frédéric Abergel, 2020. "Market Impact: A Systematic Study of the High Frequency Options Market," Post-Print hal-02014248, HAL.
    3. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," PLOS ONE, Public Library of Science, vol. 10(10), pages 1-11, October.
    4. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
    5. Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
    6. A. C. Barato & I. Mastromatteo & M. Bardoscia & M. Marsili, 2013. "Impact of meta-order in the Minority Game," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1343-1352, September.
    7. Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
    8. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    9. Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2013. "Agent-based models for latent liquidity and concave price impact," Papers 1311.6262, arXiv.org, revised Dec 2014.
    10. Çetin, Umut & Waelbroeck, Henri, 2023. "Power laws in market microstructure," LSE Research Online Documents on Economics 120809, London School of Economics and Political Science, LSE Library.
    11. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    12. John Cartlidge & Nigel P. Smart & Younes Talibi Alaoui, 2021. "Multi‐party computation mechanism for anonymous equity block trading: A secure implementation of turquoise plato uncross," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(4), pages 239-267, October.
    13. Emilio Said, 2019. "How Option Hedging Shapes Market Impact," Working Papers hal-02310080, HAL.
    14. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," Post-Print hal-01277584, HAL.
    15. Ismael Lemhadri, 2018. "Market Impact in a Latent Order Book," Papers 1802.06101, arXiv.org, revised Sep 2020.
    16. Matthew Dicks & Andrew Paskaramoorthy & Tim Gebbie, 2023. "Many learning agents interacting with an agent-based market model," Papers 2303.07393, arXiv.org, revised Aug 2024.
    17. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    18. Thibault Jaisson, 2015. "Market impact as anticipation of the order flow imbalance," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1123-1135, July.
    19. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
    20. Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer, 2012. "A proposal for impact-adjusted valuation: Critical leverage and execution risk," Papers 1204.0922, arXiv.org, revised Aug 2012.
    21. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
    22. Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.
    23. Emilio Said & Ahmed Bel Hadj Ayed & Damien Thillou & Jean-Jacques Rabeyrin & Fr'ed'eric Abergel, 2019. "Market Impact: A Systematic Study of the High Frequency Options Market," Papers 1902.05418, arXiv.org, revised May 2022.
    24. Francesco Cordoni & Fabrizio Lillo, 2022. "Transient impact from the Nash equilibrium of a permanent market impact game," Papers 2205.00494, arXiv.org, revised Mar 2023.
    25. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
    26. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Working Papers hal-03668669, HAL.
    27. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
    28. Sergey Nadtochiy, 2020. "A simple microstructural explanation of the concavity of price impact," Papers 2001.01860, arXiv.org, revised Dec 2020.
    29. Ismael Lemhadri, 2018. "Market impact in a latent order book," Working Papers hal-01711192, HAL.
    30. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
    31. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
    32. Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217, arXiv.org, revised Dec 2014.
    33. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Papers 2205.07385, arXiv.org.
    34. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
    35. Paolo Barucca & Fabrizio Lillo, 2017. "Behind the price: on the role of agent's reflexivity in financial market microstructure," Papers 1708.07047, arXiv.org.
    36. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
    37. Nataliya Bershova & Dmitry Rakhlin, 2013. "The non-linear market impact of large trades: evidence from buy-side order flow," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1759-1778, November.
    38. Louis Saddier & Matteo Marsili, 2023. "A Bayesian theory of market impact," Papers 2303.08867, arXiv.org, revised May 2024.
    39. Dave Cliff, 2024. "Parameterised response zero intelligence traders," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 19(3), pages 439-492, July.
    40. Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Frédéric Abergel, 2018. "Market Impact: A Systematic Study of Limit Orders," Post-Print hal-01561128, HAL.
    41. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
    42. Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
    43. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
    44. Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
    45. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
    46. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    47. Kyle Bechler & Mike Ludkovski, 2014. "Optimal Execution with Dynamic Order Flow Imbalance," Papers 1409.2618, arXiv.org, revised Oct 2014.
    48. J. Donier & J. Bonart & I. Mastromatteo & J.-P. Bouchaud, 2015. "A fully consistent, minimal model for non-linear market impact," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1109-1121, July.
    49. Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Fr'ed'eric Abergel, 2018. "Market Impact: A Systematic Study of Limit Orders," Papers 1802.08502, arXiv.org, revised May 2022.
    50. Sergey Nadtochiy, 2022. "A simple microstructural explanation of the concavity of price impact," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 78-113, January.
    51. Umut c{C}etin & Henri Waelbroeck, 2020. "Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics," Papers 2003.04425, arXiv.org.
    52. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.

  4. Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.

    Cited by:

    1. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    2. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
    3. Ya‐Kai Chang & Robin K. Chou, 2022. "Algorithmic trading and market quality: Evidence from the Taiwan index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1837-1855, October.
    4. Kin‐Yip Ho & Wai‐Man Liu & Jing Yu, 2018. "Public News Arrival and Cross‐Asset Correlation Breakdown," International Review of Finance, International Review of Finance Ltd., vol. 18(3), pages 411-451, September.
    5. Eun Jung Lee, 2015. "High Frequency Trading in the Korean Index Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 31-51, January.
    6. Hee Su Roh & Yinyu Ye, 2015. "Market Making with Model Uncertainty," Papers 1509.07155, arXiv.org, revised Nov 2015.
    7. Robert Litzenberger & Jeff Castura & Richard Gorelick, 2012. "The Impacts of Automation and High Frequency Trading on Market Quality," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 59-98, October.
    8. Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.
    9. Hasbrouck, Joel & Saar, Gideon, 2013. "Low-latency trading," Journal of Financial Markets, Elsevier, vol. 16(4), pages 646-679.
    10. Kun Li, 2018. "Do high-frequency fleeting orders exacerbate market illiquidity?," Electronic Commerce Research, Springer, vol. 18(2), pages 241-255, June.

  5. Austin Gerig, 2010. "Universal Laws and Economic Phenomena," Papers 1002.0377, arXiv.org, revised Jul 2010.

    Cited by:

    1. Martin Goldberg, 2011. "Anti-Robust and Tonsured Statistics," Papers 1110.4648, arXiv.org.

  6. Austin Gerig & Javier Vicente & Miguel A. Fuentes, 2009. "Model for Non-Gaussian Intraday Stock Returns," Papers 0906.3841, arXiv.org, revised Dec 2009.

    Cited by:

    1. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "European option pricing under the Student’s t noise with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 848-858.
    2. Dashti Moghaddam, M. & Serota, R.A., 2021. "Combined multiplicative–Heston model for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
    3. Marian Gidea & Yuri Katz, 2017. "Topological Data Analysis of Financial Time Series: Landscapes of Crashes," Papers 1703.04385, arXiv.org, revised Apr 2017.
    4. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
    5. De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
    6. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Post-Print hal-00827942, HAL.
    7. M. Dashti Moghaddam & R. A. Serota, 2018. "Combined Mutiplicative-Heston Model for Stochastic Volatility," Papers 1807.10793, arXiv.org.
    8. Cassidy, Daniel T., 2011. "Describing n-day returns with Student’s t-distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(15), pages 2794-2802.
    9. Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
    10. Xu, Dan & Beck, Christian, 2016. "Transition from lognormal to χ2-superstatistics for financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 173-183.
    11. Politi, Mauro & Millot, Nicolas & Chakraborti, Anirban, 2012. "The near-extreme density of intraday log-returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 147-155.
    12. Gangadhar Nayak & Amit Kumar Singh & Dilip Senapati, 2021. "Computational Modeling of Non-Gaussian Option Price Using Non-extensive Tsallis’ Entropy Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1353-1371, April.
    13. Kangrong Tan & Meifen Chu, 2012. "Estimation Of Portfolio Return And Value At Risk Using A Class Of Gaussian Mixture Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 97-107.
    14. Mauro Politi & Nicolas Millot & Anirban Chakraborti, 2011. "The near-extreme density of intraday log-returns," Papers 1106.0039, arXiv.org.
    15. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.

  7. Miguel A. Fuentes & Austin Gerig & Javier Vicente, 2009. "Universal Behavior of Extreme Price Movements in Stock Markets," Papers 0912.5448, arXiv.org.

    Cited by:

    1. M. Dashti Moghaddam & Zhiyuan Liu & R. A. Serota, 2018. "Distributions of Historic Market Data -- Implied and Realized Volatility," Papers 1804.05279, arXiv.org.
    2. Jianrong Wei & Jiping Huang, 2012. "An Exotic Long-Term Pattern in Stock Price Dynamics," PLOS ONE, Public Library of Science, vol. 7(12), pages 1-5, December.
    3. Lu Liu & Jianrong Wei & Jiping Huang, 2013. "Scaling and Volatility of Breakouts and Breakdowns in Stock Price Dynamics," PLOS ONE, Public Library of Science, vol. 8(12), pages 1-6, December.
    4. Dashti Moghaddam, M. & Serota, R.A., 2021. "Combined multiplicative–Heston model for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
    5. M. Dashti Moghaddam & R. A. Serota, 2018. "Combined Mutiplicative-Heston Model for Stochastic Volatility," Papers 1807.10793, arXiv.org.
    6. Wei, J.R. & Huang, J.P. & Hui, P.M., 2013. "An agent-based model of stock markets incorporating momentum investors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(12), pages 2728-2735.
    7. Wu, Liang & Liu, Hengzhi & Liu, Chang & Long, Yunshen, 2020. "Determining the information share of liquidity and order flows in extreme price movements," Economic Modelling, Elsevier, vol. 93(C), pages 559-575.
    8. Jiong Liu & R. A. Serota, 2023. "Rethinking Generalized Beta family of distributions," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 96(2), pages 1-14, February.
    9. Jiong Liu & R. A. Serota, 2022. "Rethinking Generalized Beta Family of Distributions," Papers 2209.05225, arXiv.org.
    10. Dashti Moghaddam, M. & Mills, Jeffrey & Serota, R.A., 2020. "From a stochastic model of economic exchange to measures of inequality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).

  8. Esteban Moro & Javier Vicente & Luis G. Moyano & Austin Gerig & J. Doyne Farmer & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2009. "Market impact and trading profile of large trading orders in stock markets," Papers 0908.0202, arXiv.org.

    Cited by:

    1. Alexander Barzykin & Fabrizio Lillo, 2019. "Optimal VWAP execution under transient price impact," Papers 1901.02327, arXiv.org, revised Jan 2019.
    2. Kantar, Ersin & Keskin, Mustafa, 2013. "The relationships between electricity consumption and GDP in Asian countries, using hierarchical structure methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5678-5684.
    3. Rama Cont & Lakshithe Wagalath, 2014. "Institutional Investors and the Dependence Structure of Asset Returns," Working Papers 2014-ACF-01, IESEG School of Management.
    4. Iacopo Mastromatteo, 2014. "Apparent impact: the hidden cost of one-shot trades," Papers 1409.8497, arXiv.org, revised Jun 2015.
    5. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," PLOS ONE, Public Library of Science, vol. 10(10), pages 1-11, October.
    6. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
    7. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
    8. Fr'ed'eric Bucci & Iacopo Mastromatteo & Zolt'an Eisler & Fabrizio Lillo & Jean-Philippe Bouchaud & Charles-Albert Lehalle, 2018. "Co-impact: Crowding effects in institutional trading activity," Papers 1804.09565, arXiv.org, revised Jul 2018.
    9. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.
    10. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
    11. Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2013. "Agent-based models for latent liquidity and concave price impact," Papers 1311.6262, arXiv.org, revised Dec 2014.
    12. Linda Ponta & Mailan Trinh & Marco Raberto & Enrico Scalas & Silvano Cincotti, 2012. "Modeling non-stationarities in high-frequency financial time series," Papers 1212.0479, arXiv.org, revised Feb 2017.
    13. Christopher Lorenz & Alexander Schied, 2013. "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, vol. 17(4), pages 743-770, October.
    14. R. Azencott & A. Beri & Y. Gadhyan & N. Joseph & C.-A. Lehalle & M. Rowley, 2014. "Real-time market microstructure analysis: online transaction cost analysis," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1167-1185, July.
    15. Der Chyan Lin, 2013. "Synchrony in Broadband Fluctuation and the 2008 Financial Crisis," PLOS ONE, Public Library of Science, vol. 8(10), pages 1-9, October.
    16. Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," Post-Print hal-01277584, HAL.
    17. Rama Cont & Lakshithe Wagalath, 2016. "Institutional Investors And The Dependence Structure Of Asset Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-37, March.
    18. Aur'elien Alfonsi & Alexander Schied & Florian Klock, 2013. "Multivariate transient price impact and matrix-valued positive definite functions," Papers 1310.4471, arXiv.org, revised Sep 2015.
    19. Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-26, February.
    20. Musciotto, Federico & Marotta, Luca & Miccichè, Salvatore & Piilo, Jyrki & Mantegna, Rosario N., 2016. "Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 267-278.
    21. Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud, 2011. "Anomalous price impact and the critical nature of liquidity in financial markets," Papers 1105.1694, arXiv.org, revised Nov 2011.
    22. Ioanna-Yvonni Tsaknaki & Fabrizio Lillo & Piero Mazzarisi, 2023. "Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods," Papers 2307.02375, arXiv.org, revised May 2024.
    23. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2017. "The amazing power of dimensional analysis: Quantifying market impact," Papers 1702.05434, arXiv.org, revised Sep 2017.
    24. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
    25. Yann Braouezec & Lakshithe Wagalath, 2016. "Risk-based capital requirements and optimal liquidation in a stress scenario," Working Papers 2016-ACF-01, IESEG School of Management.
    26. Junjie Li & Yang Liu & Weiqing Liu & Shikai Fang & Lewen Wang & Chang Xu & Jiang Bian, 2024. "MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model," Papers 2409.07486, arXiv.org.
    27. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
    28. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
    29. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
    30. Chen, Jingnan & Feng, Liming & Peng, Jiming, 2015. "Optimal deleveraging with nonlinear temporary price impact," European Journal of Operational Research, Elsevier, vol. 244(1), pages 240-247.
    31. Mario Gutiérrez-Roig & Carlota Segura & Jordi Duch & Josep Perelló, 2016. "Market Imitation and Win-Stay Lose-Shift Strategies Emerge as Unintended Patterns in Market Direction Guesses," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-19, August.
    32. E. Bacry & J. F Muzy, 2013. "Hawkes model for price and trades high-frequency dynamics," Papers 1301.1135, arXiv.org.
    33. Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.
    34. Zura Kakushadze, 2014. "Combining Alpha Streams with Costs," Papers 1405.4716, arXiv.org, revised Jan 2015.
    35. Emilio Said & Ahmed Bel Hadj Ayed & Damien Thillou & Jean-Jacques Rabeyrin & Fr'ed'eric Abergel, 2019. "Market Impact: A Systematic Study of the High Frequency Options Market," Papers 1902.05418, arXiv.org, revised May 2022.
    36. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Papers 1501.05381, arXiv.org, revised Oct 2015.
    37. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Working Papers hal-03668669, HAL.
    38. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
    39. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
    40. Zoltan Eisler & Jean-Philippe Bouchaud, 2016. "Price impact without order book: A study of the OTC credit index market," Papers 1609.04620, arXiv.org.
    41. Li-Xin Zhong & Wen-Juan Xu & Fei Ren & Yong-Dong Shi, 2012. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Papers 1209.3399, arXiv.org, revised Jan 2013.
    42. Thierry Roncalli & Amina Cherief & Fatma Karray-Meziou & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk," Papers 2105.08377, arXiv.org.
    43. Zhong, Li-Xin & Xu, Wen-Juan & Ren, Fei & Shi, Yong-Dong, 2013. "Coupled effects of market impact and asymmetric sensitivity in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2139-2149.
    44. Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
    45. Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna, 2011. "Identification of clusters of investors from their real trading activity in a financial market," Papers 1107.3942, arXiv.org.
    46. Louis Saddier & Matteo Marsili, 2023. "A Bayesian theory of market impact," Papers 2303.08867, arXiv.org, revised May 2024.
    47. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, vol. 3(4), pages 1-17, November.
    48. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
    49. Serguei Saavedra & Luis J. Gilarranz & Rudolf P. Rohr & Michael Schnabel & Brian Uzzi & Jordi Bascompte, 2014. "Stock fluctuations are correlated and amplified across networks of interlocking directorates," Papers 1410.6646, arXiv.org.
    50. Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
    51. Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
    52. Zura Kakushadze, 2014. "Notes on Alpha Stream Optimization," Papers 1406.1249, arXiv.org, revised Mar 2015.
    53. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
    54. Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Fr'ed'eric Abergel, 2018. "Market Impact: A Systematic Study of Limit Orders," Papers 1802.08502, arXiv.org, revised May 2022.
    55. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
    56. Aurélien Alfonsi & Alexander Schied, 2013. "Capacitary measures for completely monotone kernels via singular control," Post-Print hal-00659421, HAL.
    57. Frédéric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud, 2019. "Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database," Post-Print hal-02323357, HAL.
    58. Jingnan Chen & Liming Feng & Jiming Peng & Yinyu Ye, 2014. "Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact," Operations Research, INFORMS, vol. 62(1), pages 195-206, February.
    59. Hai-Chuan Xu & Zhi-Qiang Jiang & Wei-Xing Zhou, 2016. "Immediate price impact of a stock and its warrant: Power-law or logarithmic model?," Papers 1611.04091, arXiv.org.

  9. Austin Gerig, 2008. "A Theory for Market Impact: How Order Flow Affects Stock Price," Papers 0804.3818, arXiv.org, revised Jul 2008.

    Cited by:

    1. Fabrizio Pomponio & Frédéric Abergel, 2013. "Multiple-limit trades : empirical facts and application to lead-lag measures," Post-Print hal-00745317, HAL.
    2. Juan C. Henao-Londono & Sebastian M. Krause & Thomas Guhr, 2021. "Price response functions and spread impact in correlated financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 94(4), pages 1-20, April.
    3. Julius Bonart & Martin D. Gould, 2017. "Latency and liquidity provision in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1601-1616, October.
    4. Derick Diana & Tim Gebbie, 2023. "Anomalous diffusion and price impact in the fluid-limit of an order book," Papers 2310.06079, arXiv.org, revised Aug 2024.
    5. Karol Wawrzyniak & Wojciech Wi'slicki, 2013. "Grand canonical minority game as a sign predictor," Papers 1309.3399, arXiv.org.
    6. B. Tóth & F. Lillo & J. D. Farmer, 2010. "Segmentation algorithm for non-stationary compound Poisson processes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 78(2), pages 235-243, November.
    7. Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
    8. Fabrizio Pomponio & Frederic Abergel, 2012. "Multiple-limit trades: empirical facts and application to lead--lag measures," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 783-793, September.
    9. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
    10. Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.
    11. Henao-Londono, Juan C. & Guhr, Thomas, 2022. "Foreign exchange markets: Price response and spread impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    12. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    13. Juan Camilo Henao Londono & Thomas Guhr, 2021. "Foreign exchange markets: price response and spread impact," Papers 2104.09309, arXiv.org, revised Jul 2021.
    14. Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
    15. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
    16. Igor Skachkov, 2013. "Market Impact Paradoxes," Papers 1312.3349, arXiv.org.
    17. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.

  10. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006. "Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?," Papers physics/0602015, arXiv.org.

    Cited by:

    1. Haochen Li & Yi Cao & Maria Polukarov & Carmine Ventre, 2023. "An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics," Papers 2308.14235, arXiv.org, revised Jun 2024.
    2. Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
    3. Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020. "Artificial intelligence in asset management," Working Papers 20202001, Cambridge Judge Business School, University of Cambridge.
    4. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
    5. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.
    6. J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Levine's Working Paper Archive 122247000000002067, David K. Levine.
    7. Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
    8. Wang, Yougui & Stanley, H.E., 2009. "Statistical approach to partial equilibrium analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1173-1180.
    9. Frédéric Abergel & Aymen Jedidi, 2013. "A Mathematical Approach to Order Book Modelling," Post-Print hal-00621253, HAL.
    10. Martin D. Gould & Julius Bonart, 2015. "Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book," Papers 1512.03492, arXiv.org.
    11. Borland, Lisa, 2016. "Exploring the dynamics of financial markets: from stock prices to strategy returns," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 59-74.
    12. Sorin Solomon & Natasa Golo, 2014. "Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium," Papers 1402.0176, arXiv.org.
    13. 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.
    14. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
    15. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    16. Anderegg, Benjamin & Ulmann, Florian & Sornette, Didier, 2022. "The impact of option hedging on the spot market volatility," Journal of International Money and Finance, Elsevier, vol. 124(C).
    17. Michele Vodret & Bence Tóth & Iacopo Mastromatteo & Michael Benzaquen, 2022. "Do fundamentals shape the price response? A critical assessment of linear impact models," Post-Print hal-03797375, HAL.
    18. Michele Vodret & Iacopo Mastromatteo & Bence T'oth & Michael Benzaquen, 2021. "Do fundamentals shape the price response? A critical assessment of linear impact models," Papers 2112.04245, arXiv.org.
    19. Jim Gatheral, 2010. "No-dynamic-arbitrage and market impact," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 749-759.
    20. Ahmet Duran & Michael Bommarito, 2011. "A profitable trading and risk management strategy despite transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 829-848.
    21. Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217, arXiv.org, revised Dec 2014.
    22. Julius Bonart & Fabrizio Lillo, 2016. "A continuous and efficient fundamental price on the discrete order book grid," Papers 1608.00756, arXiv.org, revised Aug 2016.
    23. Bonart, Julius & Lillo, Fabrizio, 2018. "A continuous and efficient fundamental price on the discrete order book grid," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 698-713.
    24. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
    25. Ryosuke Ishii, 2010. "Optimal Execution in a Market with Small Investors," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(5), pages 431-451.
    26. Jianfeng Guo & Bin Su & Guang Yang & Lianyong Feng & Yinpeng Liu & Fu Gu, 2018. "How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS," Sustainability, MDPI, vol. 10(9), pages 1-17, September.
    27. Aur'elien Alfonsi & Pierre Blanc, 2015. "Extension and calibration of a Hawkes-based optimal execution model," Papers 1506.08740, arXiv.org.
    28. Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.
    29. Neil A. Chriss, 2024. "Competitive equilibria in trading," Papers 2410.13583, arXiv.org, revised Oct 2024.
    30. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Papers 0908.4580, arXiv.org.
    31. Khalil al Dayri & Emmanuel Bacry & Jean-Francois Muzy, 2010. "The nature of price returns during periods of high market activity," Papers 1010.4226, arXiv.org, revised Oct 2010.
    32. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
    33. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.

Articles

  1. J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike, 2006. "Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 107-112.
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