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How markets slowly digest changes in supply and demand

Citations

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Cited by:

  1. 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.
  2. repec:hal:wpaper:hal-00777941 is not listed on IDEAS
  3. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
  4. Khandani, Amir E. & Lo, Andrew W., 2011. "What happened to the quants in August 2007? Evidence from factors and transactions data," Journal of Financial Markets, Elsevier, vol. 14(1), pages 1-46, February.
  5. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models," Papers 1401.1888, arXiv.org, revised Feb 2016.
  6. Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2014. "Optimal execution with nonlinear transient market impact," Papers 1412.4839, arXiv.org.
  7. Aaron Wheeler & Jeffrey D. Varner, 2023. "Scalable Agent-Based Modeling for Complex Financial Market Simulations," Papers 2312.14903, arXiv.org, revised Jan 2024.
  8. Sabiou Inoua, 2015. "The Intrinsic Instability of Financial Markets," Papers 1508.02203, arXiv.org.
  9. Michael Benzaquen & J.-P. Bouchaud, 2018. "Market impact with multi-timescale liquidity," Post-Print hal-02323248, HAL.
  10. Nicolas Huth & Frédéric Abergel, 2012. "The times change: multivariate subordination, empirical facts," Post-Print hal-00620841, HAL.
  11. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2020. "A Stationary Kyle Setup: Microfounding propagator models," Working Papers hal-03016486, HAL.
  12. Michael Benzaquen & Jean-Philippe Bouchaud, 2018. "A fractional reaction–diffusion description of supply and demand," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 91(2), pages 1-7, February.
  13. Juan C. Henao-Londono & Sebastian M. Krause & Thomas Guhr, 2021. "Price response functions and spread impact in correlated financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 94(4), pages 1-20, April.
  14. M. Cristelli & V. Alfi & L. Pietronero & A. Zaccaria, 2010. "Liquidity crisis, granularity of the order book and price fluctuations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 41-49, January.
  15. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2021. "A Stationary Kyle Setup: Microfounding propagator models," Post-Print hal-03016486, HAL.
  16. David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
  17. Rama Cont & Adrien De Larrard, 2012. "Order book dynamics in liquid markets: limit theorems and diffusion approximations," Papers 1202.6412, arXiv.org.
  18. Toke, Ioane Muni & Pomponio, Fabrizio, 2011. "Modelling trades-through in a limited order book using Hawkes processes," Economics Discussion Papers 2011-32, Kiel Institute for the World Economy (IfW Kiel).
  19. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, vol. 59(C), pages 167-178.
  20. Juan C. Henao-Londono & Sebastian M. Krause & Thomas Guhr, 2020. "Price response functions and spread impact in correlated financial markets," Papers 2010.15105, arXiv.org.
  21. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  22. Clinet, Simon & Yoshida, Nakahiro, 2017. "Statistical inference for ergodic point processes and application to Limit Order Book," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1800-1839.
  23. M. Abeille & E. Serie & A. Lazaric & X. Brokmann, 2016. "LQG for portfolio optimization," Papers 1611.00997, arXiv.org, revised Nov 2016.
  24. 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.
  25. Rama Cont & Adrien de Larrard, 2013. "Price Dynamics in a Markovian Limit Order Market," Post-Print hal-00552252, HAL.
  26. Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury, revised 14 Dec 2016.
  27. J. Donier & J. Bonart & I. Mastromatteo & J.-P. Bouchaud, 2015. "A fully consistent, minimal model for non-linear market impact," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1109-1121, July.
  28. Duarte Queirós, Sílvio M., 2016. "Trading volume in financial markets: An introductory review," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 24-37.
  29. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models," Papers 1401.1891, arXiv.org, revised Feb 2016.
  30. Lublóy, Ágnes & Gyarmati, Ákos & Váradi, Kata, 2012. "Virtuális árhatás a Budapesti Értéktőzsdén [Virtual price effects on the Budapest stock exchange]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 508-539.
  31. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  32. Chávez-Casillas, Jonathan A. & Figueroa-López, José E., 2017. "A one-level limit order book model with memory and variable spread," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2447-2481.
  33. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
  34. Bence Toth & Imon Palit & Fabrizio Lillo & J. Doyne Farmer, 2011. "Why is order flow so persistent?," Papers 1108.1632, arXiv.org, revised Nov 2014.
  35. Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo, 2013. "Bridging stylized facts in finance and data non-stationarities," Papers 1302.3197, arXiv.org, revised May 2013.
  36. Stephan Grimm & Thomas Guhr, 2019. "How spread changes affect the order book: comparing the price responses of order deletions and placements to trades," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 92(6), pages 1-11, June.
  37. Donovan Platt & Tim Gebbie, 2016. "Can Agent-Based Models Probe Market Microstructure?," Papers 1611.08510, arXiv.org, revised Aug 2017.
  38. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: II. Agent-based models," Post-Print hal-00621059, HAL.
  39. Michael Benzaquen & Jean-Philippe Bouchaud, 2018. "A fractional reaction–diffusion description of supply and demand," Post-Print hal-02323544, HAL.
  40. Michele Vodret & Iacopo Mastromatteo & Bence T'oth & Michael Benzaquen, 2021. "Do fundamentals shape the price response? A critical assessment of linear impact models," Papers 2112.04245, arXiv.org.
  41. Chen, Jingnan & Feng, Liming & Peng, Jiming, 2015. "Optimal deleveraging with nonlinear temporary price impact," European Journal of Operational Research, Elsevier, vol. 244(1), pages 240-247.
  42. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks," Papers 1401.1892, arXiv.org, revised Feb 2016.
  43. M. A. Virasoro, 2011. "Non-Gaussianity of the Intraday Returns Distribution: its evolution in time," Papers 1112.0770, arXiv.org, revised Dec 2011.
  44. Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
  45. Michael Benzaquen & Jean-Philippe Bouchaud, 2017. "Market impact with multi-timescale liquidity," Papers 1710.03734, arXiv.org, revised Oct 2017.
  46. F. Caccioli & M. Marsili & P. Vivo, 2009. "Eroding market stability by proliferation of financial instruments," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(4), pages 467-479, October.
  47. Paolo Barucca & Fabrizio Lillo, 2017. "Behind the price: on the role of agent's reflexivity in financial market microstructure," Papers 1708.07047, arXiv.org.
  48. Alexander Lipton & Umberto Pesavento & Michael G Sotiropoulos, 2013. "Trade arrival dynamics and quote imbalance in a limit order book," Papers 1312.0514, arXiv.org.
  49. Michele Vodret & Iacopo Mastromatteo & Bence T'oth & Michael Benzaquen, 2020. "A Stationary Kyle Setup: Microfounding propagator models," Papers 2011.10242, arXiv.org, revised Feb 2021.
  50. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
  51. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
  52. Rama Cont & Sasha Stoikov & Rishi Talreja, 2010. "A Stochastic Model for Order Book Dynamics," Operations Research, INFORMS, vol. 58(3), pages 549-563, June.
  53. Federico Garzarelli & Matthieu Cristelli & Andrea Zaccaria & Luciano Pietronero, 2011. "Memory effects in stock price dynamics: evidences of technical trading," Papers 1110.5197, arXiv.org.
  54. Jacopo Rocchi & Enoch Yan Lok Tsui & David Saad, 2017. "Emerging interdependence between stock values during financial crashes," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-15, May.
  55. Michael Benzaquen & Iacopo Mastromatteo & Zoltan Eisler & Jean-Philippe Bouchaud, 2016. "Dissecting cross-impact on stock markets: An empirical analysis," Papers 1609.02395, arXiv.org, revised Nov 2016.
  56. Rama Cont & Adrien de Larrard, 2011. "Order book dynamics in liquid markets: limit theorems and diffusion approximations," Working Papers hal-00672274, HAL.
  57. Ban Zheng & Eric Moulines & Fr'ed'eric Abergel, 2012. "Price Jump Prediction in Limit Order Book," Papers 1204.1381, arXiv.org.
  58. Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011. "A computational view of market efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
  59. Campbell, Michael J., 2022. "Heavy-tailed distributions of volume and price-change resulting from strategy coordination and decision noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  60. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  61. A. Zaccaria & M. Cristelli & V. Alfi & F. Ciulla & L. Pietronero, 2009. "Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement," Papers 0906.1387, arXiv.org, revised May 2010.
  62. Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud, 2011. "Anomalous price impact and the critical nature of liquidity in financial markets," Papers 1105.1694, arXiv.org, revised Nov 2011.
  63. Stephan Grimm & Thomas Guhr, 2018. "How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades," Papers 1812.09067, arXiv.org.
  64. Seemann, Lars & McCauley, Joseph L. & Gunaratne, Gemunu H., 2011. "Intraday volatility and scaling in high frequency foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 121-126, June.
  65. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
  66. Rama Cont & Adrien De Larrard, 2011. "Price dynamics in a Markovian limit order market," Papers 1104.4596, arXiv.org.
  67. Eric Kemp-Benedict, 2012. "Second-order Price Dynamics: Approach to Equilibrium with Perpetual Arbitrage," Papers 1202.5926, arXiv.org.
  68. Federico Musciotto & Luca Marotta & Jyrki Piilo & Rosario N. Mantegna, 2018. "Long-term ecology of investors in a financial market," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 4(1), pages 1-12, December.
  69. Ban Zheng & Franc{c}ois Roueff & Fr'ed'eric Abergel, 2013. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Papers 1301.5007, arXiv.org, revised Feb 2014.
  70. Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2021. "Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets," Papers 2108.09750, arXiv.org.
  71. Baviera, Roberto & Nassigh, Aldo & Nastasi, Emanuele, 2021. "A closed formula for illiquid corporate bonds and an application to the European market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  72. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
  73. Jay Chok & Jifeng Qian, 2013. "Comparable Stocks, Boundedly Rational Stock Markets and IPO Entry Rates," PLOS ONE, Public Library of Science, vol. 8(5), pages 1-8, May.
  74. Csóka, Péter & Havran, Dániel & Váradi, Kata, 2013. "Konferencia a pénzügyi piacok likviditásáról. Third Annual Financial Market Liquidity Conference BCE Befektetések és Vállalati Pénzügy Tanszék-MTA KRTK KTI Játékelméleti Kutatócsoport-Nemzetközi Banká," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 477-485.
  75. Michele Vodret & Bence Tóth & Iacopo Mastromatteo & Michael Benzaquen, 2022. "Do fundamentals shape the price response? A critical assessment of linear impact models," Post-Print hal-03797375, HAL.
  76. Miquel Montero, 2008. "Predator-Prey Model for Stock Market Fluctuations," Papers 0810.4844, arXiv.org, revised Jul 2009.
  77. Jonathan A. Ch'avez-Casillas & Jos'e E. Figueroa-L'opez, 2014. "One-level limit order book models with memory and variable spread," Papers 1407.5684, arXiv.org, revised Mar 2016.
  78. Enzo Busseti & Fabrizio Lillo, 2012. "Calibration of optimal execution of financial transactions in the presence of transient market impact," Papers 1206.0682, arXiv.org.
  79. Alexander Lykov & Stepan Muzychka & Kirill Vaninsky, 2016. "Investor'S Sentiment In Multi-Agent Model Of The Continuous Double Auction," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-29, September.
  80. da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017. "Do investors trade too much? A laboratory experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 18-34.
  81. 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.
  82. Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW Kiel).
  83. Michael Benzaquen & Jean-Philippe Bouchaud, 2017. "A fractional reaction-diffusion description of supply and demand," Papers 1704.02638, arXiv.org, revised Aug 2017.
  84. Khalil al Dayri & Emmanuel Bacry & Jean-Francois Muzy, 2010. "The nature of price returns during periods of high market activity," Papers 1010.4226, arXiv.org, revised Oct 2010.
  85. Sağlam, Mehmet & Moallemi, Ciamac C. & Sotiropoulos, Michael G., 2019. "Short-term trading skill: An analysis of investor heterogeneity and execution quality," Journal of Financial Markets, Elsevier, vol. 42(C), pages 1-28.
  86. 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.
  87. repec:hal:wpaper:hal-00684716 is not listed on IDEAS
  88. Gyarmati, Ákos & Lublóy, Ágnes & Váradi, Kata, 2012. "The Budapest liquidity measure and the price impact function," MPRA Paper 40339, University Library of Munich, Germany.
  89. Willis, Geoff, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," MPRA Paper 31137, University Library of Munich, Germany.
  90. Roberto Baviera & Aldo Nassigh & Emanuele Nastasi, 2019. "A closed formula for illiquid corporate bonds and an application to the European market," Papers 1901.06855, arXiv.org, revised May 2020.
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