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No‐arbitrage implies power‐law market impact and rough volatility
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References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2018Volatility Is Rough793 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2015Hawkes Processes in Finance459 cited
  • 2003Master curve for price-impact function453 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 2019The characteristic function of rough Heston models305 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 2003More statistical properties of order books and price impact289 cited
  • 2013Some limit theorems for Hawkes processes and application to financial statistics248 cited
  • 2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets229 cited
  • 2013Critical reflexivity in financial markets: a Hawkes process analysis187 cited
  • 2018The microstructural foundations of leverage effect and rough volatility154 cited
  • 2014Simulating and Analyzing Order Book Data: The Queue-Reactive Model

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  • 2021From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect28 cited