The effects of trade size and market depth on immediate price impact in a limit order book market

DOI10.1016/J.JEDC.2020.103992zbMath1475.91344OpenAlexW3089082377MaRDI QIDQ2246738

Manh Cuong Pham, Paul Lajbcygier, Heather Margot Anderson, Huu Nhan Duong

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103992

zbMATH Keywords

forecastsorder flowimmediate price impactmarket depth

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Does the bid-ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment

Uses Software

• mgcv
• gamair

Cites Work

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• The Model Confidence Set
• mgcv
• Optimal trade execution: a mean quadratic variation approach
• The market impact of a limit order
• Generalized additive models
• Why is equity order flow so persistent?
• The price impact of order book events: market orders, limit orders and cancellations
• The immediate price impact of trades on the Australian Stock Exchange
• Institutional Investors and Stock Market Volatility
• Continuous Auctions and Insider Trading
• The Stationary Bootstrap
• Tests of Conditional Predictive Ability

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