Market Impact: A Systematic Study of the High Frequency Options Market
Author
Abstract
Suggested Citation
DOI: 10.1080/14697688.2020.1791948
Note: View the original document on HAL open archive server: https://hal.science/hal-02014248v2
Download full text from publisher
References listed on IDEAS
- Bruno Bouchard & G Loeper & Y Zou, 2017. "Hedging of covered options with linear market impact and gamma constraint," Post-Print hal-01247523, HAL.
- C. Gomes & H. Waelbroeck, 2015. "Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 773-793, May.
- Bence Toth & Zoltan Eisler & Jean-Philippe Bouchaud, 2016. "The square-root impact law also holds for option markets," Papers 1602.03043, arXiv.org.
- 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.
- Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Frédéric Abergel, 2018. "Market Impact: A systematic study of limit orders," Working Papers hal-01561128, HAL.
- 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.
- Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2013.
"How efficiency shapes market impact,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1743-1758, November.
- J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck, 2011. "How efficiency shapes market impact," Papers 1102.5457, arXiv.org, revised Sep 2013.
- Bruno Bouchard & G. Loeper & Y. Zou, 2017. "Hedging of covered options with linear market impact and gamma constraint," Post-Print hal-01611790, HAL.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Emilio Said, 2019. "How Option Hedging Shapes Market Impact," Papers 1910.05056, arXiv.org, revised Nov 2019.
- 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.
- Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Working Papers hal-03668669, HAL.
- Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
- Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Papers 2205.07385, arXiv.org.
- Emilio Said, 2019. "How Option Hedging Shapes Market Impact," Working Papers hal-02310080, HAL.
- Emilio Said & Ahmed Bel Hadj Ayed & Damien Thillou & Jean-Jacques Rabeyrin & Frédéric Abergel, 2019. "Market Impact: A Systematic Study of the High Frequency Options Market," Working Papers hal-02014248, HAL.
- Fr'ed'eric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud, 2019. "Slow decay of impact in equity markets: insights from the ANcerno database," Papers 1901.05332, arXiv.org, revised Jan 2019.
- 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.
- Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Frédéric Abergel, 2018. "Market Impact: A systematic study of limit orders," Working Papers hal-01561128, HAL.
- Emilio Said & Ahmed Bel Hadj Ayed & Alexandre Husson & Frédéric Abergel, 2018. "Market Impact: A Systematic Study of Limit Orders," Post-Print hal-01561128, HAL.
- 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.
- 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.
- Fr'ed'eric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Papers 1905.04569, arXiv.org.
- Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights," Post-Print hal-01277584, HAL.
- Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
- Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2021. "Cross impact in derivative markets," Working Papers hal-03378903, HAL.
- Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
- 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.
- Pavol Brunovsk'y & Alev{s} v{C}ern'y & J'an Komadel, 2017. "Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions," Papers 1707.07284, arXiv.org.
- Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2021. "Cross impact in derivative markets," Papers 2102.02834, arXiv.org, revised Mar 2022.
More about this item
Keywords
High Frequency; Fair Pricing; Implied Volatility; Statistical Finance; Market Microstructure; Automated Trading; Options Market; Limit Orders; Market Impact;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-02014248. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.