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Order flow dynamics around extreme price changes on an emerging stock market
5 references·1 citing·27 second hop
Order flow dynamics around extreme price changes on an emerging stock market (2010)Order flow dynamics around extreme price …Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis (2010)Financial Bubbles, Real Estat…Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis (2009)Financial Bubbles, Real Estat…Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …What really causes large price changes? (2004)What really causes large pric…Financial Market Complexity (2003)Financial Market ComplexityTrading networks, abnormal motifs and stock manipulation (2013)Trading networks, abnormal mo…The Social Structure of a National Securities Market (1984)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Power-Law Distributions in Empirical Data (2009)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)An empirical behavioral model of liquidity and volatility (2007)The impact of heterogeneous trading rules on the limit order book and order flows (2008)Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)Manias, Panics, and Crashes: A History of Financial Crises (1979)The social brain hypothesis (1998)Behavioral Game Theory: Experiments in Strategic Interaction (2003)Crashes and High Frequency Trading (2011)Index Cohesive Force Analysis Reveals That the US Market Became Prone to Systemic Collapses Since 2002 (2011)The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals (2014)It's Baaack: Japan's Slump and the Return of the Liquidity Trap (1998)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask (2011)Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model (2013)Do Demand Curves for Stocks Slope Down? (1986)A Theory of Intraday Patterns: Volume and Price Variability (1988)Optimal execution of portfolio transactions (2001)GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION (2013)The non-linear market impact of large trades: evidence from buy-side order flow (2013)News-based trading strategies (2016)Dragon-kings: Mechanisms, statistical methods and empirical evidence (2012)Agent-Based Modeling in Economics and Finance: Past, Present, and Future (2025)
this work references cited by second hop

References

  • 2003Financial Market Complexity316 cited
  • 2004What really causes large price changes?276 cited
  • 2005Optimal Trading Strategy and Supply/Demand Dynamics108 cited
  • 2010Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis75 cited
  • 2009Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis45 cited

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  • 2013Trading networks, abnormal motifs and stock manipulation30 cited

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