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The Price Impact of Order Book Events
16 references·9 citing·36 second hop
The Price Impact of Order Book Events (2010)The Price Impact of Order Book EventsLiquidity and Market Efficiency (2007)Liquidity and Market Efficien…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…Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Optimal control of execution costs (1998)Optimal control of execution …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Modelling Extremal Events (1997)Modelling Extremal EventsMarket microstructure theory (1995)Market microstructure theoryModelling of extremal events in insurance and finance (1994)Modelling of extremal events …Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…High Frequency Asymptotics for the Limit Order Book (2016)High Frequency Asymptotics fo…A Model for Queue Position Valuation in a Limit Order Book (2016)A Model for Queue Position Va…Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (2015)Modeling high-frequency order…Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets (2014)Liquidity, information, strat…Probabilistic aspects of finance (2013)Probabilistic aspects of fina…Optimal Portfolio Execution Using Market and Limit Orders (2012)Optimal Portfolio Execution U…Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges (2011)Statistical Modeling of High …Limit Order Books (2011)Limit Order BooksThe Market Impact of a Limit Order (2010)The Market Impact of a Limit …Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)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 Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market microstructure: A survey (2000)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Realized Variance and Market Microstructure Noise (2006)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)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 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
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1995Market microstructure theory1,305 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2007Liquidity and Market Efficiency984 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1997

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Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
960 cited

Cited by

  • 2016High Frequency Asymptotics for the Limit Order Book36 cited
  • 2016A Model for Queue Position Valuation in a Limit Order Book31 cited
  • 2010The Market Impact of a Limit Order25 cited
  • 2012Optimal Portfolio Execution Using Market and Limit Orders25 cited
  • 2013Probabilistic aspects of finance24 cited
  • 2014Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets24 cited
  • 2011Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges24 cited
  • 2015Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes21 cited
  • 2011Limit Order Books21 cited