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A fully consistent, minimal model for non-linear market impact

Citations

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Cited by:

  1. Peter A. Bebbington & Julius Bonart, 2016. "Order statistics of horse racing and the randomly broken stick," Papers 1612.02567, arXiv.org.
  2. Eduardo Dávila & Daniel D. Graves & Cecilia Parlatore, 2022. "The Value of Arbitrage," NBER Working Papers 29744, National Bureau of Economic Research, Inc.
  3. Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
  4. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2024. "Equity auction dynamics: latent liquidity models with activity acceleration," Working Papers hal-04391810, HAL.
  5. M. Derksen & B. Kleijn & R. de Vilder, 2019. "Clearing price distributions in call auctions," Papers 1904.07583, arXiv.org, revised Nov 2019.
  6. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Working Papers hal-03938660, HAL.
  7. Fengpei Li & Vitalii Ihnatiuk & Ryan Kinnear & Anderson Schneider & Yuriy Nevmyvaka, 2022. "Do price trajectory data increase the efficiency of market impact estimation?," Papers 2205.13423, arXiv.org, revised Mar 2023.
  8. Derick Diana & Tim Gebbie, 2023. "Anomalous diffusion and price impact in the fluid-limit of an order book," Papers 2310.06079, arXiv.org, revised Jan 2024.
  9. Fr'ed'eric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud, 2019. "Slow decay of impact in equity markets: insights from the ANcerno database," Papers 1901.05332, arXiv.org, revised Jan 2019.
  10. Fr'ed'eric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Papers 1905.04569, arXiv.org.
  11. Alvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2019. "Hedging Non-Tradable Risks with Transaction Costs and Price Impact," Papers 1908.00054, arXiv.org, revised Mar 2020.
  12. Iwao Maeda & David deGraw & Michiharu Kitano & Hiroyasu Matsushima & Hiroki Sakaji & Kiyoshi Izumi & Atsuo Kato, 2020. "Deep Reinforcement Learning in Agent Based Financial Market Simulation," JRFM, MDPI, vol. 13(4), pages 1-17, April.
  13. Yuki Sato & Kiyoshi Kanazawa, 2023. "Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies," Papers 2306.13378, arXiv.org, revised Nov 2023.
  14. Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2017. "Optimal execution with non-linear transient market impact," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 41-54, January.
  15. Sudhanshu Pani, 2020. "A Theory of 'Auction as a Search' in speculative markets," Papers 2006.00775, arXiv.org.
  16. Ioanna-Yvonni Tsaknaki & Fabrizio Lillo & Piero Mazzarisi, 2023. "Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods," Papers 2307.02375, arXiv.org.
  17. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2017. "The amazing power of dimensional analysis: Quantifying market impact," Papers 1702.05434, arXiv.org, revised Sep 2017.
  18. Matthew Dicks & Andrew Paskaramoorthy & Tim Gebbie, 2023. "Many learning agents interacting with an agent-based market model," Papers 2303.07393, arXiv.org, revised Nov 2023.
  19. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact," Papers 1602.02735, arXiv.org.
  20. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  21. Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Toth, 2016. "Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model," Papers 1604.07556, arXiv.org.
  22. Francesco Cordoni & Fabrizio Lillo, 2022. "Transient impact from the Nash equilibrium of a permanent market impact game," Papers 2205.00494, arXiv.org, revised Mar 2023.
  23. Fabrizio Lillo, 2021. "Order flow and price formation," Papers 2105.00521, arXiv.org.
  24. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Working Papers hal-03668669, HAL.
  25. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
  26. Sergey Nadtochiy, 2020. "A simple microstructural explanation of the concavity of price impact," Papers 2001.01860, arXiv.org, revised Dec 2020.
  27. Zoltan Eisler & Jean-Philippe Bouchaud, 2016. "Price impact without order book: A study of the OTC credit index market," Papers 1609.04620, arXiv.org.
  28. Ke Xu & Martin D. Gould & Sam D. Howison, 2019. "Multi-Level Order-Flow Imbalance in a Limit Order Book," Papers 1907.06230, arXiv.org, revised Oct 2019.
  29. Marvin S. Mueller, 2016. "A stochastic Stefan-type problem under first-order boundary conditions," Papers 1601.03968, arXiv.org, revised Oct 2018.
  30. Olivier Féron & Peter Tankov & Laura Tinsi, 2020. "Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player," Risks, MDPI, vol. 8(4), pages 1-21, December.
  31. Emilio Said, 2022. "Market Impact: Empirical Evidence, Theory and Practice," Papers 2205.07385, arXiv.org.
  32. Christopher J. Cho & Timothy J. Norman & Manuel Nunes, 2023. "PRIME: A Price-Reverting Impact Model of a cryptocurrency Exchange," Papers 2305.07559, arXiv.org.
  33. Louis Saddier & Matteo Marsili, 2023. "A Bayesian theory of market impact," Papers 2303.08867, arXiv.org, revised Feb 2024.
  34. Olivier F'eron & Peter Tankov & Laura Tinsi, 2020. "Price formation and optimal trading in intraday electricity markets," Papers 2009.04786, arXiv.org, revised Jun 2021.
  35. Coen, Jamie & Lepore, Caterina & Schaanning, Eric, 2019. "Taking regulation seriously: fire sales under solvency and liquidity constraints," Bank of England working papers 793, Bank of England.
  36. Frédéric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2019. "Impact is not just volatility," Post-Print hal-02323182, HAL.
  37. Sergey Nadtochiy, 2022. "A simple microstructural explanation of the concavity of price impact," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 78-113, January.
  38. Frédéric Bucci & Michael Benzaquen & Fabrizio Lillo & Jean-Philippe Bouchaud, 2019. "Slow Decay of Impact in Equity Markets: Insights from the ANcerno Database," Post-Print hal-02323357, HAL.
  39. Takumi Sueshige & Kiyoshi Kanazawa & Hideki Takayasu & Misako Takayasu, 2018. "Ecology of trading strategies in a forex market for limit and market orders," PLOS ONE, Public Library of Science, vol. 13(12), pages 1-14, December.
  40. Olivier F'eron & Peter Tankov & Laura Tinsi, 2020. "Price formation and optimal trading in intraday electricity markets with a major player," Papers 2011.07655, arXiv.org.
  41. A. Rej & R. Benichou & J. de Lataillade & G. Z'erah & J. -Ph. Bouchaud, 2015. "Optimal Trading with Linear and (small) Non-Linear Costs," Papers 1511.07359, arXiv.org, revised Nov 2016.
  42. Álvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2020. "Hedging nontradable risks with transaction costs and price impact," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 833-868, July.
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