Market impact as anticipation of the order flow imbalance (Q4683068)
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scientific article; zbMATH DE number 6939275
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Market impact as anticipation of the order flow imbalance |
scientific article; zbMATH DE number 6939275 |
Statements
Market impact as anticipation of the order flow imbalance (English)
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19 September 2018
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market impact
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metaorder
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market order flow
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Hawkes processes
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long memory
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square root law
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market efficiency
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