Market Impact with Autocorrelated Order Flow under Perfect Competition
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References listed on IDEAS
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- F. Lillo & Szabolcs Mike & J. Doyne Farmer, 2004. "A theory for long-memory in supply and demand," Papers cond-mat/0412708, arXiv.org, revised Mar 2005.
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Cited by:
- 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.
- Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
- Hyoeun Lee & Kiseop Lee, 2020. "Optimal execution with liquidity risk in a diffusive order book market," Papers 2004.10951, arXiv.org.
- 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.
- Aur'elien Alfonsi & Pierre Blanc, 2014. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Papers 1404.0648, arXiv.org, revised Jun 2015.
- Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
- Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
- Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.
- Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
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This paper has been announced in the following NEP Reports:- NEP-MST-2013-01-07 (Market Microstructure)
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