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Fluctuations and response in financial markets: the subtle nature of 'random' price changes

Citations

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Cited by:

  1. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2006. "Random walks, liquidity molasses and critical response in financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 115-123.
  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. Siew Ann Cheong, 2013. "Econophysics: An Experimental Course for Advanced Undergraduates in the Nanyang Technological University," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 79-99, July.
  4. Guillermo Angeris & Alex Evans & Tarun Chitra, 2020. "When does the tail wag the dog? Curvature and market making," Papers 2012.08040, arXiv.org.
  5. Wei-Xing Zhou, 2012. "Universal price impact functions of individual trades in an order-driven market," Quantitative Finance, Taylor & Francis Journals, vol. 12(8), pages 1253-1263, June.
  6. Frank McGroarty & Ash Booth & Enrico Gerding & V. L. Raju Chinthalapati, 2019. "High frequency trading strategies, market fragility and price spikes: an agent based model perspective," Annals of Operations Research, Springer, vol. 282(1), pages 217-244, November.
  7. Alexander Barzykin & Fabrizio Lillo, 2019. "Optimal VWAP execution under transient price impact," Papers 1901.02327, arXiv.org, revised Jan 2019.
  8. Steffen Bohn, 2011. "The slippage paradox," Papers 1103.2214, arXiv.org.
  9. Sebastien Valeyre, 2022. "Optimal trend following portfolios," Papers 2201.06635, arXiv.org.
  10. 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.
  11. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management.
  12. 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.
  13. Alexandru Mandes, 2020. "Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 407-450, February.
  14. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  15. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  16. Kevin Primicerio & Damien Challet, 2018. "Large large-trader activity weakens the long memory of limit order markets," Papers 1803.08390, arXiv.org.
  17. Rosella Castellano & Roy Cerqueti & Giulia Rotundo, 2020. "Exploring the financial risk of a temperature index: a fractional integrated approach," Annals of Operations Research, Springer, vol. 284(1), pages 225-242, January.
  18. Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu, 2020. "Trading strategy with stochastic volatility in a limit order book market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 277-301, June.
  19. Ted Theodosopoulos, 2004. "Uncertainty relations in models of market microstructure," Papers math/0409076, arXiv.org, revised Feb 2005.
  20. 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.
  21. Wildauer, Rafael & Heck, Ines & Kapeller, Jakob, 2023. "Was Pareto right? Is the distribution of wealth thick-tailed?," Greenwich Papers in Political Economy 38597, University of Greenwich, Greenwich Political Economy Research Centre.
  22. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swic{e}cimka & Marek Stanuszek, 2018. "Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017," Papers 1812.08548, arXiv.org, revised Jun 2019.
  23. Miles Kumaresan & Nataša Krejić, 2010. "A model for optimal execution of atomic orders," Computational Optimization and Applications, Springer, vol. 46(2), pages 369-389, June.
  24. Juan C. Henao-Londono & Sebastian M. Krause & Thomas Guhr, 2020. "Price response functions and spread impact in correlated financial markets," Papers 2010.15105, arXiv.org.
  25. 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.
  26. 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.
  27. Chatterjee, Soumya & Mukherjee, Indranil & Barat, P., 2018. "Analysis of the behaviour of the detrended BSE sensex data," Chaos, Solitons & Fractals, Elsevier, vol. 113(C), pages 186-196.
  28. Bence Toth & Zoltan Eisler & Jean-Philippe Bouchaud, 2017. "The short-term price impact of trades is universal," Papers 1702.08029, arXiv.org, revised Jan 2018.
  29. 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.
  30. 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.
  31. Steffen Bohn, 2011. "The slippage paradox," Working Papers hal-00574268, HAL.
  32. Yamamoto, Ryuichi, 2019. "Dynamic Predictor Selection And Order Splitting In A Limit Order Market," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 1757-1792, July.
  33. Frédéric Abergel & Aymen Jedidi, 2013. "A Mathematical Approach to Order Book Modelling," Post-Print hal-00621253, HAL.
  34. Challet, Damien, 2008. "Feedback and efficiency in limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3831-3836.
  35. Ismael Lemhadri, 2018. "Market Impact in a Latent Order Book," Papers 1802.06101, arXiv.org, revised Sep 2020.
  36. Aur'elien Alfonsi & Antje Fruth & Alexander Schied, 2007. "Optimal execution strategies in limit order books with general shape functions," Papers 0708.1756, arXiv.org, revised Feb 2010.
  37. Laszlo Gillemot & J. Doyne Farmer & Fabrizio Lillo, 2006. "There's more to volatility than volume," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 371-384.
  38. 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.
  39. Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2017. "Optimal execution with non-linear transient market impact," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 41-54, January.
  40. Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2012. "Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 517-530, November.
  41. Marcus Lim & Richard Coggins, 2005. "The immediate price impact of trades on the Australian Stock Exchange," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 365-377.
  42. 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.
  43. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The fine-structure of volatility feedback I: multi-scale self-reflexivity," Papers 1206.2153, arXiv.org, revised Sep 2013.
  44. 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.
  45. 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.
  46. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Post-Print hal-01799398, HAL.
  47. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact," Papers 1602.02735, arXiv.org.
  48. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  49. Theodosopoulos, Ted & Yuen, Ming, 2007. "Properties of the wealth process in a market microstructure model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 443-452.
  50. Thibault Jaisson, 2015. "Market impact as anticipation of the order flow imbalance," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1123-1135, July.
  51. Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019. "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers 1912.06426, arXiv.org.
  52. Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy, 2014. "Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling," Papers 1412.7096, arXiv.org.
  53. Teh, Boon Kin & Goo, Yik Wen & Lian, Tong Wei & Ong, Wei Guang & Choi, Wen Ting & Damodaran, Mridula & Cheong, Siew Ann, 2015. "The Chinese Correction of February 2007: How financial hierarchies change in a market crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 225-241.
  54. Lublóy, Ágnes & Gyarmati, Ákos & Váradi, Kata, 2012. "Virtuális árhatás a Budapesti Értéktőzsdén [Virtual price effects on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 508-539.
  55. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  56. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
  57. 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.
  58. Aurélien Alfonsi & Florian Klöck & Alexander Schied, 2016. "Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 914-934, August.
  59. Marcel Nutz & Kevin Webster & Long Zhao, 2023. "Unwinding Stochastic Order Flow: When to Warehouse Trades," Papers 2310.14144, arXiv.org.
  60. Jeremy Turiel & Tomaso Aste, 2019. "Sector Neutral Portfolios: Long memory motifs persistence in market structure dynamics," Papers 1910.08628, arXiv.org, revised Feb 2021.
  61. Joshin Murai, 2016. "A model of transaction signs with order splitting and public information," Evolutionary and Institutional Economics Review, Springer, vol. 13(2), pages 469-480, December.
  62. Rafael Velasco-Fuentes & Wing Lon Ng, 2011. "Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 863-881.
  63. 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.
  64. Chiarella, Carl & Iori, Giulia, 2009. "The impact of heterogeneous trading rules on the limit order book and order flows," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 525-537.
  65. Harvey, M. & Hendricks, D. & Gebbie, T. & Wilcox, D., 2017. "Deviations in expected price impact for small transaction volumes under fee restructuring," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 416-426.
  66. Alexander Schied & Torsten Schöneborn, 2009. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, vol. 13(2), pages 181-204, April.
  67. Christian Oesch & Dietmar Maringer, 2017. "Low-latency liquidity inefficiency strategies," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 717-727, May.
  68. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model," Papers 1604.07556, arXiv.org.
  69. Beomsoo Park & Benjamin Van Roy, 2015. "Adaptive Execution: Exploration and Learning of Price Impact," Operations Research, INFORMS, vol. 63(5), pages 1058-1076, October.
  70. Theodosopoulos, Ted, 2005. "Uncertainty relations in models of market microstructure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 209-216.
  71. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical shape function of limit-order books in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5182-5188.
  72. Iacopo Mastromatteo & Michael Benzaquen & Zoltan Eisler & Jean-Philippe Bouchaud, 2017. "Trading Lightly: Cross-Impact and Optimal Portfolio Execution," Papers 1702.03838, arXiv.org, revised Aug 2017.
  73. 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.
  74. Jim Gatheral & Roel Oomen, 2010. "Zero-intelligence realized variance estimation," Finance and Stochastics, Springer, vol. 14(2), pages 249-283, April.
  75. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Papers 1803.06917, arXiv.org.
  76. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
  77. 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.
  78. Zaitsev, Sergey & Zaitsev, Alexander & Leonidov, Andrei & Trainin, Vladimir, 2009. "Market mill dependence pattern in the stock market: Multiscale conditional dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4624-4634.
  79. J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen, 2004. "What really causes large price changes?," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 383-397.
  80. Paul Jung, 2014. "Random-Time Isotropic Fractional Stable Fields," Journal of Theoretical Probability, Springer, vol. 27(2), pages 618-633, June.
  81. Philipp Weber & Bernd Rosenow, 2006. "Large stock price changes: volume or liquidity?," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 7-14.
  82. Jim Gatheral, 2010. "No-dynamic-arbitrage and market impact," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 749-759.
  83. Ibrahim Ekren & Johannes Muhle-Karbe, 2017. "Portfolio Choice with Small Temporary and Transient Price Impact," Papers 1705.00672, arXiv.org, revised Apr 2020.
  84. Ismael Lemhadri, 2018. "Market impact in a latent order book," Working Papers hal-01711192, HAL.
  85. Rene Carmona & Kevin Webster, 2019. "Applications of a New Self-Financing Equation," Papers 1905.04137, arXiv.org.
  86. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
  87. Adam Blazejewski & Richard Coggins, 2004. "A local non-parametric model for trade sign inference," Finance 0408009, University Library of Munich, Germany.
  88. Zoltan Eisler & Jean-Philippe Bouchaud, 2016. "Price impact without order book: A study of the OTC credit index market," Papers 1609.04620, arXiv.org.
  89. 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.
  90. Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
  91. 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.
  92. Emmanuel Bacry & Jean-Fran�ois Muzy, 2014. "Hawkes model for price and trades high-frequency dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1147-1166, July.
  93. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Working Papers hal-03835948, HAL.
  94. Aurelien Alfonsi & Antje Fruth & Alexander Schied, 2010. "Optimal execution strategies in limit order books with general shape functions," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 143-157.
  95. Olivier Guedj & Jean-Philippe Bouchaud, 2004. "Experts' earning forecasts: bias, herding and gossamer information," Science & Finance (CFM) working paper archive 500062, Science & Finance, Capital Fund Management.
  96. 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.
  97. Francesco Cordoni & Fabrizio Lillo, 2020. "Instabilities in Multi-Asset and Multi-Agent Market Impact Games," Papers 2004.03546, arXiv.org, revised Nov 2021.
  98. Paolo Barucca & Fabrizio Lillo, 2017. "Behind the price: on the role of agent's reflexivity in financial market microstructure," Papers 1708.07047, arXiv.org.
  99. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  100. Aur'elien Alfonsi & Pierre Blanc, 2015. "Extension and calibration of a Hawkes-based optimal execution model," Papers 1506.08740, arXiv.org.
  101. Adam Blazejewski & Richard Coggins, 2004. "A piecewise linear model for trade sign inference," Finance 0412012, University Library of Munich, Germany.
  102. Alexander Schied & Elias Strehle & Tao Zhang, 2015. "High-frequency limit of Nash equilibria in a market impact game with transient price impact," Papers 1509.08281, arXiv.org, revised May 2017.
  103. Juan Camilo Henao Londono & Thomas Guhr, 2021. "Foreign exchange markets: price response and spread impact," Papers 2104.09309, arXiv.org, revised Jul 2021.
  104. 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.
  105. Masamitsu Ohnishi & Makoto Shimoshimizu, 2024. "Trade execution games in a Markovian environment," Papers 2405.07184, arXiv.org.
  106. Ioane Muni Toke & Nakahiro Yoshida, 2019. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Working Papers hal-01799398, HAL.
  107. Vygintas Gontis, 2021. "Order flow in the financial markets from the perspective of the Fractional L\'evy stable motion," Papers 2105.02057, arXiv.org, revised Nov 2021.
  108. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
  109. Eyal Neuman & Yufei Zhang, 2023. "Statistical Learning with Sublinear Regret of Propagator Models," Papers 2301.05157, arXiv.org, revised Jan 2025.
  110. Justin Sirignano & Rama Cont, 2018. "Universal features of price formation in financial markets: perspectives from Deep Learning," Working Papers hal-01754054, HAL.
  111. Saerom Park & Jaewook Lee & Youngdoo Son, 2016. "Predicting Market Impact Costs Using Nonparametric Machine Learning Models," PLOS ONE, Public Library of Science, vol. 11(2), pages 1-13, February.
  112. Tobias Braun & Jonas A Fiegen & Daniel C Wagner & Sebastian M Krause & Thomas Guhr, 2018. "Impact and recovery process of mini flash crashes: An empirical study," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-11, May.
  113. Alexander Schied & Tao Zhang, 2019. "A Market Impact Game Under Transient Price Impact," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 102-121, February.
  114. Schied, Alexander & Schöneborn, Torsten, 2007. "Optimal Portfolio Liquidation for CARA Investors," MPRA Paper 5075, University Library of Munich, Germany.
  115. Kyle Bechler & Michael Ludkovski, 2017. "Order Flows and Limit Order Book Resiliency on the Meso-Scale," Papers 1708.02715, arXiv.org.
  116. Natascha Hey & Jean-Philippe Bouchaud & Iacopo Mastromatteo & Johannes Muhle-Karbe & Kevin Webster, 2023. "The Cost of Misspecifying Price Impact," Papers 2306.00599, arXiv.org.
  117. 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.
  118. Tao Chen & Mike Ludkovski & Moritz Vo{ss}, 2022. "On Parametric Optimal Execution and Machine Learning Surrogates," Papers 2204.08581, arXiv.org, revised Oct 2023.
  119. Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2010. "The Price Impact of Order Book Events," Papers 1011.6402, arXiv.org, revised Apr 2011.
  120. Münnix, Michael C. & Schäfer, Rudi & Guhr, Thomas, 2010. "Impact of the tick-size on financial returns and correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4828-4843.
  121. 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.
  122. 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.
  123. 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.
  124. Ted Theodosopoulos & Ming Yuen, 2005. "Properties of the wealth process in a market microstructure model," Papers math/0502105, arXiv.org, revised Feb 2005.
  125. Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org.
  126. Masamitsu Ohnishi & Makoto Shimoshimizu, 2022. "Optimal Pair–Trade Execution with Generalized Cross–Impact," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 253-289, June.
  127. Miles Kumaresan & Nataša Krejić, 2015. "Optimal trading of algorithmic orders in a liquidity fragmented market place," Annals of Operations Research, Springer, vol. 229(1), pages 521-540, June.
  128. 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.
  129. Tobias Braun & Jonas A. Fiegen & Daniel C. Wagner & Sebastian M. Krause & Thomas Guhr, 2017. "Impact and Recovery Process of Mini Flash Crashes: An Empirical Study," Papers 1707.05580, arXiv.org.
  130. Rytis Kazakevicius & Aleksejus Kononovicius & Bronislovas Kaulakys & Vygintas Gontis, 2021. "Understanding the nature of the long-range memory phenomenon in socioeconomic systems," Papers 2108.02506, arXiv.org, revised Aug 2021.
  131. A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero, 2009. "Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement," Papers 0906.1387, arXiv.org, revised May 2010.
  132. Natividad Blasco & Pilar Corredor & Sandra Ferreruela, 2012. "Does herding affect volatility? Implications for the Spanish stock market," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 311-327, July.
  133. Igor Skachkov, 2013. "Market Impact Paradoxes," Papers 1312.3349, arXiv.org.
  134. Petter N. Kolm & Jeremy Turiel & Nicholas Westray, 2023. "Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1044-1081, October.
  135. Takaaki Ohnishi & Hideki Takayasu & Takatoshi Ito & Yuko Hashimoto & Tsutomu Watanabe & Misako Takayasu, 2008. "Dynamics of quote and deal prices in the foreign exchange market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 99-106, June.
  136. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.
  137. Ioane Muni Toke & Nakahiro Yoshida, 2018. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Papers 1805.06682, arXiv.org, revised Aug 2019.
  138. 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.
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