Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?

DOI10.1080/14697688.2021.1942535zbMath1484.91446OpenAlexW3208661311MaRDI QIDQ5068066

Paul Besson, Matthieu Lasnier

Publication date: 5 April 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.1942535

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Strategic Execution Trajectories

Cites Work

• Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
• What Constrains Liquidity Provision? Evidence from Institutional Trades*
• Co-impact: crowding effects in institutional trading activity
• Are trading invariants really invariant? Trading costs matter

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