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Universal price impact functions of individual trades in an order-driven market
16 references·0 citing·42 second hop
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References

  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1992Stock Prices and Volume1,295 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1998Inverse cubic law for the distribution of stock price variations590 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 2003Master curve for price-impact function453 cited
  • 2005The predictive power of zero intelligence in financial markets452 cited
  • 2000Trade size, order imbalance, and the volatility–volume relation

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416 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
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