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Estimating Permanent Price Impact via Machine Learning
16 references·1 citing·42 second hop
Estimating Permanent Price Impact via Machine Learning (2019)Estimating Permanent Price Impact via Mac…Do Prices Reveal the Presence of Informed Trading? (2015)Do Prices Reveal the Presence…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Very fast money: High-frequency trading on the NASDAQ (2013)Very fast money: High-frequen…The information content of an open limit‐order book (2008)The information content of an…Reinforcement learning for optimized trade execution (2006)Reinforcement learning for op…Robust Control of Markov Decision Processes with Uncertain Transition Matrices (2005)Robust Control of Markov Deci…A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis (2005)A Practitioner's Guide to Lag…Price Manipulation and Quasi-Arbitrage (2004)Price Manipulation and Quasi-…Time and the Price Impact of a Trade (2000)Time and the Price Impact of …Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Optimal control of execution costs (1998)Optimal control of execution …Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)The Summary Informativeness o…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Trades, quotes, inventories, and information (1988)Trades, quotes, inventories, …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Technology and automation in financial trading: A bibliometric review (2024)Technology and automation in …Minimax analysis of stochastic problems (2002)Robust Dynamic Programming (2005)Learning Under Ambiguity (2007)Lectures on Stochastic Programming (2009)Theory and Applications of Robust Optimization (2011)Quantifying Distributional Model Risk via Optimal Transport (2019)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)Does Algorithmic Trading Improve Liquidity? (2011)Impulse response analysis in nonlinear multivariate models (1996)MIDAS Regressions: Further Results and New Directions (2007)Introductory Econometrics for Finance (2008)Understanding Crude Oil Prices (2008)Trends and random walks in macroeconmic time series (1982)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Market microstructure: A survey (2000)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Inferring Trade Direction from Intraday Data (1991)Market structure, information, futures markets, and price formation. (1984)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)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Is Information Risk a Determinant of Asset Returns? (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Order flow composition and trading costs in a dynamic limit order market (1999)Limit Order Book as a Market for Liquidity (2005)Just How Much Do Individual Investors Lose by Trading? (2008)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2014High-Frequency Trading and Price Discovery1,185 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 2005Robust Control of Markov Decision Processes with Uncertain Transition Matrices729 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 1991The Summary Informativeness of Stock Trades: An Econometric Analysis537 cited
  • 1988Trades, quotes, inventories, and information489 cited
  • 2015Do Prices Reveal the Presence of Informed Trading?338 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 2005A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis316 cited
  • 2013Very fast money: High-frequency trading on the NASDAQ303 cited
  • 2008The information content of an open limit‐order book293 cited
  • 2006Reinforcement learning for optimized trade execution

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  • 2024Technology and automation in financial trading: A bibliometric review20 cited