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Market impact as anticipation of the order flow imbalance - MaRDI portal

Market impact as anticipation of the order flow imbalance (Q4683068)

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scientific article; zbMATH DE number 6939275
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English
Market impact as anticipation of the order flow imbalance
scientific article; zbMATH DE number 6939275

    Statements

    title
    Market impact as anticipation of the order flow imbalance (English)
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    author
    Thibault Jaisson
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    publication date
    19 September 2018
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60G44
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    60G55
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    zbMATH DE Number
    6939275
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    OpenAlex ID
    W1547175729
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    arXiv ID
    1402.1288
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