Mechanical vs. informational components of price impact
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- J. Doyne Farmer & N. Zamani, 2007. "Mechanical vs. informational components of price impact," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 189-200, January.
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- Zoltán Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren, 2012. "The price impact of order book events: market orders, limit orders and cancellations," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1395-1419, September.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
- Shanshan Wang, 2017. "Trading strategies for stock pairs regarding to the cross-impact cost," Papers 1701.03098, arXiv.org, revised Jul 2017.
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