The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books

DOI10.1080/1350486X.2010.504333zbMath1239.91181arXivphysics/0702210OpenAlexW2058270875MaRDI QIDQ2889582

Damien Challet

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0702210

zbMATH Keywords

efficiencyconsistency conditionarbitragelimit order marketsmarket impact

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Unnamed Item
• More statistical properties of order books and price impact
• Order book approach to price impact
• Continuous Auctions and Insider Trading
• Price Manipulation and Quasi-Arbitrage
• 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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