The price impact of order book events: market orders, limit orders and cancellations
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Publication:2873559
DOI10.1080/14697688.2010.528444zbMath1279.91072arXiv0904.0900OpenAlexW3125129045MaRDI QIDQ2873559
Julien Kockelkoren, Jean-Philippe Bouchaud, Zoltán Eisler
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.0900
Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24)
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Cites Work
- The market impact of a limit order
- Mechanical vs. informational components of price impact
- Order book approach to price impact
- Continuous Auctions and Insider Trading
- 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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