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Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database · Study

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ArticleSlow Decay of Impact in Equity Markets: Insights From the ANcerno Database

Frédéric Bucci2018

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Articlegreen2018

Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database

Frédéric Bucci · Michael Benzaquen · Fabrizio Lillo · Jean‐Philippe Bouchaud

25 citations·0/0 files stored·Market Microstructure and Liquidity

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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

2009How Markets Slowly Digest Changes in Supply and Demand 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes 2004The Long Memory of the Efficient Market 2005Direct Estimation of Equity Market Impact 2004Price Manipulation and Quasi-Arbitrage 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes 2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets 2009Market impact and trading profile of hidden orders in stock markets

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Year2018

Typearticle

Published2018-09-01

VenueMarket Microstructure and Liquidity

ISSN-L2382-6266

Languageen

Citations25

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1142/s2382626619500060

openalex_workW2909616332

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