Linear models for the impact of order flow on prices. I. History dependent impact models

DOI10.1080/14697688.2017.1395903zbMath1400.91564arXiv1602.02735OpenAlexW2793113486MaRDI QIDQ4554471

Jean-Philippe Bouchaud, Damian Eduardo Taranto, Fabrizio Lillo, Giacomo Bormetti, Bence Tóth

Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1602.02735

zbMATH Keywords

price formationmarket microstructuremarket impact modelliquidity modelling

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

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Cites Work

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• Why is equity order flow so persistent?
• The price impact of order book events: market orders, limit orders and cancellations
• The Long Memory of the Efficient Market
• Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• A fully consistent, minimal model for non-linear market impact
• Hawkes model for price and trades high-frequency dynamics
• Random walks, liquidity molasses and critical response in financial markets

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