An analysis of price impact function in order-driven markets

DOI10.1016/S0378-4371(02)01888-5zbMath1072.91566OpenAlexW2002143792MaRDI QIDQ1873949

Yanyan Li

Publication date: 21 May 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01888-5

zbMATH Keywords

central order matching mechanismmicroscopic double-auction market modelrandom order placement

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (10)

A one-level limit order book model with memory and variable spread ⋮ Optimal execution in high-frequency trading with Bayesian learning ⋮ Optimal execution with price impact under cumulative prospect theory ⋮ Investments in random environments ⋮ A multi agent model for the limit order book dynamics ⋮ Increase in equilibrium price by fast oscillations ⋮ Functional modelling of volatility in the Swedish limit order book ⋮ Interacting gaps model, dynamics of order book, and stock-market fluctuations ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback ⋮ Simple stochastic order-book model of swarm behavior in continuous double auction

Cites Work

• Statistical properties of stock order books: empirical results and models
• A simulation analysis of the microstructure of double auction markets*
• The power of patience: a behavioural regularity in limit-order placement
• Statistical theory of the continuous double auction
• Analyzing and modeling 1+1d markets

This page was built for publication: An analysis of price impact function in order-driven markets