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The Price Impact of Order Book Events · Study

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PreprintThe Price Impact of Order Book Events

Rama Cont A2010

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Preprintgreen2010

The Price Impact of Order Book Events

Rama Cont A · Arseniy Kukanov · SASHA F. STOIKOV

48 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1985Continuous Auctions and Insider Trading 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1991Inferring Trade Direction from Intraday Data 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987The Relation Between Price Changes and Trading Volume: A Survey 1991Measuring the Information Content of Stock Trades 2001Optimal execution of portfolio transactions

Cited by

2016High Frequency Asymptotics for the Limit Order Book 2016A Model for Queue Position Valuation in a Limit Order Book 2010The Market Impact of a Limit Order 2012Optimal Portfolio Execution Using Market and Limit Orders 2013Probabilistic aspects of finance 2014Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets

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2013How Efficiency Shapes Market Impactpreprint · 19 shared references 2011Statistical Modeling of High Frequency Financial Data: Facts, Models and Challengespreprint · 19 shared references 2013The Price Impact of Order Book Eventsarticle · 18 shared references 2003Institutional Investors and Stock Market Volatilitypreprint · 16 shared references 2013How efficiency shapes market impactarticle · 15 shared references 2011Limit Order Bookspreprint · 15 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations48

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1712822

openalex_workW2169562249

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2011

Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges

2015Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes