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Market impact and trading profile of hidden orders in stock markets
16 references·16 citing·42 second hopsampled
Market impact and trading profile of hidden orders in stock markets (2009)Market impact and trading profile of hidd…How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Empirical Market Microstructure (2007)Empirical Market Microstructu…Institutional Investors and Stock Market Volatility (2006)Institutional Investors and S…The predictive power of zero intelligence in financial markets (2005)The predictive power of zero …Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Mutual Fund Flows and Performance in Rational Markets (2004)Mutual Fund Flows and Perform…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Master curve for price-impact function (2003)Master curve for price-impact…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights (2015)Why Do Markets Crash? Bitcoin…Market Impacts and the Life Cycle of Investors Orders (2015)Market Impacts and the Life C…Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate (2015)Beyond the Square Root: Evide…A Million Metaorder Analysis of Market Impact on the Bitcoin (2015)A Million Metaorder Analysis …A fully consistent, minimal model for non-linear market impact (2015)A fully consistent, minimal m…Why is equity order flow so persistent? (2014)Why is equity order flow so p…Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders (2014)Is market impact a measure of…Hawkes model for price and trades high-frequency dynamics (2014)Hawkes model for price and tr…Agent-based models for latent liquidity and concave price impact (2014)Agent-based models for latent…The non-linear market impact of large trades: evidence from buy-side order flow (2013)The non-linear market impact …How efficiency shapes market impact (2013)How efficiency shapes market …Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamical Models of Market Im…An ecological perspective on the future of computer trading (2013)An ecological perspective on …Identification of clusters of investors from their real trading activity in a financial market (2012)Identification of clusters of…Synchronicity, instant messaging, and performance among financial traders (2011)Synchronicity, instant messag…Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)Anomalous Price Impact and th…Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Efficient Capital Markets: II (1991)Presidential Address: Friction (2000)The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers (2000)Stealth-trading: Which traders' trades move stock prices? (2001)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Coherent Measures of Risk (1999)Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Optimal execution strategies in limit order books with general shape functions (2009)Human behavior and the principle of least effort (1949)The variation of certain speculative prices (1997)The Cross‐Section of Volatility and Expected Returns (2006)Modelling the scaling properties of human mobility (2010)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Estimating the components of the bid/ask spread (1988)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Are Momentum Profits Robust to Trading Costs? (2004)Pricing the commonality across alternative measures of liquidity (2007)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)On Persistence in Mutual Fund Performance (1997)Costly Search and Mutual Fund Flows (1998)Asset Fire Sales (and Purchases) in Equity Markets (2005)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)High-frequency trading in a limit order book (2008)Colloquium : Statistical mechanics of money, wealth, and income (2009)Cross-correlations between volume change and price change (2009)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2004Mutual Fund Flows and Performance in Rational Markets2,082 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2003Master curve for price-impact function453 cited
  • 2005The predictive power of zero intelligence in financial markets452 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2007Empirical Market Microstructure430 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2005

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Direct Estimation of Equity Market Impact
363 cited

Cited by

  • 2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets229 cited
  • 2014Hawkes model for price and trades high-frequency dynamics189 cited
  • 2013Dynamical Models of Market Impact and Algorithms for Order Execution140 cited
  • 2015A fully consistent, minimal model for non-linear market impact111 cited
  • 2014Why is equity order flow so persistent?108 cited
  • 2012Identification of clusters of investors from their real trading activity in a financial market106 cited
  • 2013The non-linear market impact of large trades: evidence from buy-side order flow96 cited
  • 2013How efficiency shapes market impact95 cited
  • 2015Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate90 cited
  • 2015Market Impacts and the Life Cycle of Investors Orders89 cited
  • 2013An ecological perspective on the future of computer trading85 cited
  • 2014Agent-based models for latent liquidity and concave price impact85 cited
  • 2011Synchronicity, instant messaging, and performance among financial traders82 cited
  • 2015Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights78 cited
  • 2014Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders59 cited
  • 2015A Million Metaorder Analysis of Market Impact on the Bitcoin54 cited