Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
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Publication:4683095
DOI10.1080/14697688.2014.963140zbMath1398.91519OpenAlexW3125723224MaRDI QIDQ4683095
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Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.963140
market efficiencymarket microstructuremarket impactfair priceimplementation shortfallactive fund managementpermanent impactsunshine trading
Related Items (9)
Mean field game of controls and an application to trade crowding ⋮ Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades? ⋮ Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows ⋮ Market impact with multi-timescale liquidity ⋮ Apparent impact: the hidden cost of one-shot trades ⋮ A fully consistent, minimal model for non-linear market impact ⋮ Market impact as anticipation of the order flow imbalance ⋮ Market impact: a systematic study of the high frequency options market ⋮ Liquidation with self-exciting price impact
Cites Work
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- How efficiency shapes market impact
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- Institutional Investors and Stock Market Volatility
- Do supply and demand drive stock prices?
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- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
- Optimal execution strategies in limit order books with general shape functions
- 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?
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