A fully consistent, minimal model for non-linear market impact
From MaRDI portal
Publication:4683067
DOI10.1080/14697688.2015.1040056zbMath1398.91274arXiv1412.0141OpenAlexW1936783080WikidataQ56689098 ScholiaQ56689098MaRDI QIDQ4683067
Jean-Philippe Bouchaud, Julius Bonart, J. Donier, Iacopo Mastromatteo
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.0141
reaction-diffusionprice formationmarket microstructuremarket impact modellimit order booknon-arbitrage
Related Items (21)
A stochastic Stefan-type problem under first-order boundary conditions ⋮ The inelastic market hypothesis: a microstructural interpretation ⋮ Linear models for the impact of order flow on prices. I. History dependent impact models ⋮ Optimal execution with non-linear transient market impact ⋮ Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ Strategic Execution Trajectories ⋮ A simple microstructural explanation of the concavity of price impact ⋮ Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact ⋮ High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact ⋮ Market impact with multi-timescale liquidity ⋮ Clearing price distributions in call auctions ⋮ From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand ⋮ A Stefan-type stochastic moving boundary problem ⋮ Particle-scale modelling of financial price dynamics ⋮ PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES ⋮ Deep learning for limit order books ⋮ A stationary Kyle setup: microfounding propagator models ⋮ How does latent liquidity get revealed in the limit order book? ⋮ Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory ⋮ Price formation and optimal trading in intraday electricity markets
Cites Work
- Stochastic methods. A handbook for the natural and social sciences
- No-dynamic-arbitrage and market impact
- How efficiency shapes market impact
- Relation between bid–ask spread, impact and volatility in order-driven markets
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Continuous Auctions and Insider Trading
- Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
- Statistical properties of stock order books: empirical results and models
- Statistical theory of the continuous double auction
- Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
- Price Manipulation and Quasi-Arbitrage
This page was built for publication: A fully consistent, minimal model for non-linear market impact
