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Impact of meta-order in the Minority Game

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  • A. C. Barato
  • I. Mastromatteo
  • M. Bardoscia
  • M. Marsili

Abstract

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Suggested Citation

  • A. C. Barato & I. Mastromatteo & M. Bardoscia & M. Marsili, 2013. "Impact of meta-order in the Minority Game," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1343-1352, September.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:9:p:1343-1352
    DOI: 10.1080/14697688.2012.756146
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    References listed on IDEAS

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    1. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
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    Cited by:

    1. Li-Xin Zhong & Wen-Juan Xu & Ping Huang & Chen-Yang Zhong & Tian Qiu, 2013. "Self-organization and phase transition in financial markets with multiple choices," Papers 1312.0690, arXiv.org, revised Jun 2014.
    2. Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2013. "Agent-based models for latent liquidity and concave price impact," Papers 1311.6262, arXiv.org, revised Dec 2014.
    3. Zhong, Li-Xin & Xu, Wen-Juan & Chen, Rong-Da & Zhong, Chen-Yang & Qiu, Tian & Ren, Fei & He, Yun-Xing, 2018. "Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 301-310.
    4. Louis Saddier & Matteo Marsili, 2023. "A Bayesian theory of market impact," Papers 2303.08867, arXiv.org, revised May 2024.
    5. Jean-Philippe Bouchaud & Matteo Marsili & Jean-Pierre Nadal, 2023. "Application of spin glass ideas in social sciences, economics and finance," Papers 2306.16165, arXiv.org.

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