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Market impact as anticipation of the order flow imbalance
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 2005Asset Fire Sales (and Purchases) in Equity Markets1,704 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2004Price Pressure around Mergers426 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2007Modelling security market events in continuous time: Intensity based, multivariate point process models397 cited

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  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
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