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An agent-based modeling approach to study price impact
16 references·0 citing·42 second hop
An agent-based modeling approach to study price impact (2012)An agent-based modeling approach to study…Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …How Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Hidden liquidity: An analysis of order exposure strategies in electronic stock markets (2009)Hidden liquidity: An analysis…Limit Order Markets: A Survey (2008)Limit Order Markets: A SurveyThe predictive power of zero intelligence in financial markets (2005)The predictive power of zero …Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …What really causes large price changes? (2004)What really causes large pric…Statistical theory of the continuous double auction (2003)Statistical theory of the con…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…More statistical properties of order books and price impact (2003)More statistical properties o…Master curve for price-impact function (2003)Master curve for price-impact…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality (1993)Allocative Efficiency of Mark…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)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)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)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Irrational Behavior and Economic Theory (1962)An Evolutionary Theory of Economic Change. (1983)Shared Mental Models: Ideologies and Institutions (1994)An Engine, Not a Camera (2006)What Are Institutions? (2006)Coherent Measures of Risk (1999)Direct Estimation of Equity Market Impact (2005)Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Inferring Trade Direction from Intraday Data (1991)Market microstructure theory (1995)Inefficient Markets: An Introduction to Behavioral Finance (2002)The Long Memory of the Efficient Market (2004)Multifractal analysis of financial markets: a review (2019)Fractional Brownian Motions, Fractional Noises and Applications (1968)Power Laws in Economics and Finance (2008)No-dynamic-arbitrage and market impact (2010)Power Laws in Economics: An Introduction (2016)Théorie de la spéculation (1900)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Statistics for Long-Memory Processes. (1996)Agent-Based Modeling in Economics and Finance: Past, Present, and Future (2025)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Introduction to Econophysics (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Econophysics review: I. Empirical facts (2011)Limit order books (2013)Price Dynamics in a Markovian Limit Order Market (2013)
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References

  • 1993Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality1,652 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1998Optimal control of execution costs1,056 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
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2003More statistical properties of order books and price impact289 cited
  • 2004What really causes large price changes?276 cited
  • 2005Optimal Trading Strategy and Supply/Demand Dynamics222 cited
  • 2008Limit Order Markets: A Survey202 cited

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  • 2009Hidden liquidity: An analysis of order exposure strategies in electronic stock markets174 cited
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