An analysis of price impact function in order-driven markets
type: Item
instance of: scholarly article
title: An analysis of price impact function in order-driven markets
zbMATH Open document ID: 1072.91566
DOI: 10.1016/S0378-4371(02)01888-5
author: Yanyan Li
published in: Physica A
publication date: 2003-05-21T00:00:00Z
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 1914394
zbMATH Keywords: microscopic double-auction market model
zbMATH Keywords: random order placement
zbMATH Keywords: central order matching mechanism
MaRDI profile type: Publication
cites work: Statistical theory of the continuous double auction
cites work: A simulation analysis of the microstructure of double auction markets*
cites work: Analyzing and modeling 1+1d markets
cites work: Statistical properties of stock order books: empirical results and models
cites work: The power of patience: a behavioural regularity in limit-order placement
full work available at URL: s0378-4371(02)01888-5
OpenAlex ID: W2002143792
description: scientific article; zbMATH DE number 1914394