Market impact as anticipation of the order flow imbalance
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Publication:4683068
DOI10.1080/14697688.2015.1013148zbMath1398.91526arXiv1402.1288OpenAlexW1547175729MaRDI QIDQ4683068
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.1288
Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)
Related Items (4)
Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics ⋮ Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events ⋮ A characterisation of cross-impact kernels ⋮ Limit theorems for nearly unstable Hawkes processes
Uses Software
Cites Work
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