Co-impact: crowding effects in institutional trading activity

DOI10.1080/14697688.2019.1660398zbMath1448.91279arXiv1804.09565OpenAlexW2975713178MaRDI QIDQ5121489

Zoltán Eisler, Iacopo Mastromatteo, Charles-Albert Lehalle, Fabrizio Lillo, Frédéric Bucci, Jean-Philippe Bouchaud

Publication date: 14 September 2020

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

Full work available at URL: https://arxiv.org/abs/1804.09565

zbMATH Keywords

market microstructuremarket impact modelinstitutional trading activitylarge trade execution

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Asymptotic Approximations of Integrals
• Continuous Auctions and Insider Trading
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