Apparent impact: the hidden cost of one-shot trades

DOI10.1088/1742-5468/2015/06/P06022zbMath1456.91136arXiv1409.8497OpenAlexW2962862891MaRDI QIDQ3302298

Iacopo Mastromatteo

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.8497

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Cites Work

• Estimating the efficient price from the order flow: a Brownian Cox process approach
• Price Dynamics in a Markovian Limit Order Market
• The price impact of order book events: market orders, limit orders and cancellations
• On the area under a continuous time Brownian motion till its first-passage time
• A Stochastic Model for Order Book Dynamics
• Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders

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