Random walks, liquidity molasses and critical response in financial markets

DOI10.1080/14697680500397623zbMath1136.91415arXivcond-mat/0406224OpenAlexW2166186218MaRDI QIDQ5484636

Jean-Philippe Bouchaud, Marc Potters, Julien Kockelkoren

Publication date: 21 August 2006

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0406224

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (24)

The identification of price jumps ⋮ Illiquidity premium and expected stock returns in the UK: a new approach ⋮ The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books ⋮ The inelastic market hypothesis: a microstructural interpretation ⋮ Why is equity order flow so persistent? ⋮ Extension and verification of the asymmetric autoregressive conditional duration models ⋮ Linear models for the impact of order flow on prices. I. History dependent impact models ⋮ Optimal execution with non-linear transient market impact ⋮ Latency and liquidity provision in a limit order book ⋮ Strategic Execution Trajectories ⋮ Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book ⋮ Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact ⋮ Relation between bid–ask spread, impact and volatility in order-driven markets ⋮ Effects of intervaling on high-frequency realized higher-order moments ⋮ Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme ⋮ Limit-order book resiliency after effective market orders: spread, depth and intensity ⋮ The non-random walk of stock prices: the long-term correlation between signs and sizes ⋮ Mechanical vs. informational components of price impact ⋮ No-dynamic-arbitrage and market impact ⋮ The fine-structure of volatility feedback. I: Multi-scale self-reflexivity ⋮ Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? ⋮ How efficiency shapes market impact ⋮ Reduced form modeling of limit order markets ⋮ The price impact of order book events: market orders, limit orders and cancellations

Cites Work

• Unnamed Item
• More statistical properties of order books and price impact
• Order book approach to price impact
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Large stock price changes: volume or liquidity?

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