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A Million Metaorder Analysis of Market Impact on the Bitcoin

Citations

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Cited by:

  1. Louis Saddier & Matteo Marsili, 2023. "A Bayesian theory of market impact," Papers 2303.08867, arXiv.org, revised May 2024.
  2. Guillaume Maitrier & Gr'egoire Loeper & Kiyoshi Kanazawa & Jean-Philippe Bouchaud, 2025. "The "double" square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data," Papers 2502.16246, arXiv.org.
  3. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
  4. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Working Papers hal-03668669, HAL.
  5. Eduardo Abi Jaber & Alessandro Bondi & Nathan De Carvalho & Eyal Neuman & Sturmius Tuschmann, 2025. "Fredholm Approach to Nonlinear Propagator Models," Papers 2503.04323, arXiv.org.
  6. Steven Haryanto & Athor Subroto & Maria Ulpah, 2020. "Disposition effect and herding behavior in the cryptocurrency market," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 115-132, March.
  7. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2024. "Forecasting volatility with machine learning and rough volatility: example from the crypto-winter," Digital Finance, Springer, vol. 6(4), pages 639-655, December.
  8. 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.
  9. Eduard Silantyev, 2019. "Order flow analysis of cryptocurrency markets," Digital Finance, Springer, vol. 1(1), pages 191-218, November.
  10. Emy Lécuyer & Victor Filipe Martins da Rocha, 2022. "Convex Asset Pricing," Working Papers hal-03916844, HAL.
  11. Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
  12. M. Derksen & B. Kleijn & R. de Vilder, 2019. "Clearing price distributions in call auctions," Papers 1904.07583, arXiv.org, revised Nov 2019.
  13. Zoltan Eisler & Jean-Philippe Bouchaud, 2016. "Price impact without order book: A study of the OTC credit index market," Papers 1609.04620, arXiv.org.
  14. Lahmiri, Salim & Bekiros, Stelios, 2019. "Cryptocurrency forecasting with deep learning chaotic neural networks," Chaos, Solitons & Fractals, Elsevier, vol. 118(C), pages 35-40.
  15. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2023. "Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter," Papers 2311.04727, arXiv.org, revised Feb 2024.
  16. Paul Jusselin & Mathieu Rosenbaum, 2020. "No‐arbitrage implies power‐law market impact and rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1309-1336, October.
  17. Guillaume Maitrier & Gr'egoire Loeper & Jean-Philippe Bouchaud, 2025. "Generating realistic metaorders from public data," Papers 2503.18199, arXiv.org, revised Apr 2025.
  18. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Papers 2205.07385, arXiv.org.
  19. Saggese, Pietro & Belmonte, Alessandro & Dimitri, Nicola & Facchini, Angelo & Böhme, Rainer, 2023. "Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 251-270.
  20. Emilio Barucci & Giancarlo Giuffra Moncayo & Daniele Marazzina, 2023. "Market impact and efficiency in cryptoassets markets," Digital Finance, Springer, vol. 5(3), pages 519-562, December.
  21. Christopher J. Cho & Timothy J. Norman & Manuel Nunes, 2023. "PRIME: A Price-Reverting Impact Model of a cryptocurrency Exchange," Papers 2305.07559, arXiv.org.
  22. Fr'ed'eric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Papers 1905.04569, arXiv.org.
  23. Frédéric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Post-Print hal-02323182, HAL.
  24. Lécuyer, Emy & Riedel, Frank & Stanca, Lorenzo, 2024. "Arbitrage Pricing in Convex, Cash-Additive Markets," Center for Mathematical Economics Working Papers 694, Center for Mathematical Economics, Bielefeld University.
  25. Matthias Schnaubelt & Jonas Rende & Christopher Krauss, 2019. "Testing Stylized Facts of Bitcoin Limit Order Books," JRFM, MDPI, vol. 12(1), pages 1-30, February.
  26. 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.
  27. Wenpin Tang, 2023. "Trading and wealth evolution in the Proof of Stake protocol," Papers 2308.01803, arXiv.org, revised Aug 2023.
  28. 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.
  29. Ricardo Carreño & Verónica Aguilar & Daniel Pacheco & Marco Antonio Acevedo & Wen Yu & María Elena Acevedo, 2019. "An IoT Expert System Shell in Block-Chain Technology with ELM as Inference Engine," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 87-104, January.
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