How efficiency shapes market impact

DOI10.1080/14697688.2013.848464zbMath1284.91518arXiv1102.5457OpenAlexW3122798137MaRDI QIDQ2871427

Henri Waelbroeck, Austin Gerig, Fabrizio Lillo, J. Doyne Farmer

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.5457

zbMATH Keywords

trading strategiesmarket efficiencymarket microstructuretrading costs

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (16)

The inelastic market hypothesis: a microstructural interpretation ⋮ Why is equity order flow so persistent? ⋮ Optimal Execution with Dynamic Order Flow Imbalance ⋮ Optimal execution with price impact under cumulative prospect theory ⋮ Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ A simple microstructural explanation of the concavity of price impact ⋮ Power laws in market microstructure ⋮ Market impact with multi-timescale liquidity ⋮ Impact of meta-order in the Minority Game ⋮ A fully consistent, minimal model for non-linear market impact ⋮ Market impact as anticipation of the order flow imbalance ⋮ Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders ⋮ Market impact: a systematic study of the high frequency options market ⋮ Dynamic optimal execution in a mixed-market-impact Hawkes price model

Uses Software

• longmemo

Cites Work

• Unnamed Item
• More statistical properties of order books and price impact
• No-dynamic-arbitrage and market impact
• Institutional Investors and Stock Market Volatility
• There's more to volatility than volume
• Do supply and demand drive stock prices?
• Continuous Auctions and Insider Trading
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Price Manipulation and Quasi-Arbitrage
• Large stock price changes: volume or liquidity?
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Random walks, liquidity molasses and critical response in financial markets

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