Slow decay of impact in equity markets
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Cited by:
- Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
- N. Baradel & Bruno Bouchard & N. m. Dang, 2016. "Optimal Trading with Online Parameter Revisions," Post-Print hal-01590602, HAL.
- 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.
- N Baradel & Bruno Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Post-Print hal-01304019, HAL.
- Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," Post-Print hal-01277584, HAL.
- M. Abeille & E. Serie & A. Lazaric & X. Brokmann, 2016. "LQG for portfolio optimization," Papers 1611.00997, arXiv.org, revised Nov 2016.
- 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.
- Pierre Cardaliaguet & Charles-Albert Lehalle, 2016. "Mean Field Game of Controls and An Application To Trade Crowding," Papers 1610.09904, arXiv.org, revised Sep 2017.
- N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Papers 1604.06342, arXiv.org.
- N Baradel & B Bouchard & Ngoc Minh Dang, 2016. "Optimal trading with online parameters revisions," Working Papers hal-01304019, HAL.
- 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.
- Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
- 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.
- 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-2014-07-21 (Market Microstructure)
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