A Theory for Market Impact: How Order Flow Affects Stock Price
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- B. Tóth & F. Lillo & J. D. Farmer, 2010.
"Segmentation algorithm for non-stationary compound Poisson processes,"
The European Physical Journal B: Condensed Matter and Complex Systems,
Springer;EDP Sciences, vol. 78(2), pages 235-243, November.
- Bence Toth & Fabrizio Lillo & J. Doyne Farmer, 2010. "Segmentation algorithm for non-stationary compound Poisson processes," Papers 1001.2549, arXiv.org, revised Feb 2011.
- Igor Skachkov, 2013. "Market Impact Paradoxes," Papers 1312.3349, arXiv.org.
- Fabrizio Pomponio & Frédéric Abergel, 2013. "Multiple-limit trades : empirical facts and application to lead-lag measures," Post-Print hal-00745317, HAL.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
- repec:ksa:szemle:1702 is not listed on IDEAS
- Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.
- Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
- repec:hal:wpaper:hal-00745317 is not listed on IDEAS
- Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
- Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.
- Karol Wawrzyniak & Wojciech Wi'slicki, 2013. "Grand canonical minority game as a sign predictor," Papers 1309.3399, arXiv.org.
- Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
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