Impact of meta-order in the Minority Game

DOI10.1080/14697688.2012.756146zbMath1281.91076arXiv1112.3908OpenAlexW2164039303MaRDI QIDQ5397465

Marco Bardoscia, Iacopo Mastromatteo, Andre C. Barato, Matteo Marsili

Publication date: 20 February 2014

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

Full work available at URL: https://arxiv.org/abs/1112.3908

zbMATH Keywords

market impactinformation efficiencymeta-ordersminority game frameworkprediction of impactsequence of trades

Mathematics Subject Classification ID

Cooperative games (91A12) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• How efficiency shapes market impact
• Institutional Investors and Stock Market Volatility
• Statistical mechanics of socio-economic systems with heterogeneous agents
• Continuous Auctions and Insider Trading
• Market mechanism and expectations in minority and majority games

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