Do fundamentals shape the price response? A critical assessment of linear impact models

DOI10.1080/14697688.2022.2114376zbMath1519.91249arXiv2112.04245OpenAlexW4302305831MaRDI QIDQ6158379

Michael Benzaquen, Iacopo Mastromatteo, Bence Tóth, Michele Vodret

Publication date: 20 June 2023

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

Full work available at URL: https://arxiv.org/abs/2112.04245

zbMATH Keywords

pricesKyle modellinear price impact modelspropagator model

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Incorporating order-flow into optimal execution
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• The Long Memory of the Efficient Market
• Continuous Auctions and Insider Trading
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• A stationary Kyle setup: microfounding propagator models
• The Multivariate Kyle Model: More is Different
• Optimal execution strategies in limit order books with general shape functions
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning

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