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Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets
16 references·1 citing·41 second hop
Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)Anomalous Price Impact and the Critical N…Price Dynamics in a Markovian Limit Order Market (2013)Price Dynamics in a Markovian…Market impact and trading profile of hidden orders in stock markets (2009)Market impact and trading pro…Random walks, liquidity molasses and critical response in financial markets (2006)Random walks, liquidity molas…Order book approach to price impact (2005)Order book approach to price …Institutional Investors and Stock Market Volatility (2005)Institutional Investors and S…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…The Long Memory of the Efficient Market (2004)The Long Memory of the Effici…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Statistical theory of the continuous double auction (2003)Statistical theory of the con…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Toward a theory of marginally efficient markets (1999)Toward a theory of marginally…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Active Portfolio Management. (1996)Active Portfolio Management.Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights (2015)Why Do Markets Crash? Bitcoin…Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On Hurst exponent estimation under heavy-tailed distributions (2010)Correlation of financial markets in times of crisis (2011)Econophysics review: I. Empirical facts (2011)The Econometrics of Financial Markets (2012)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)Does Algorithmic Trading Improve Liquidity? (2011)Théorie de la spéculation (1900)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)More statistical properties of order books and price impact (2003)What really causes large price changes? (2004)The Variation of Certain Speculative Prices (1963)Power Laws in Economics and Finance (2008)Physical approach to complex systems (2012)Power Laws in Economics: An Introduction (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Institutional Investors and Stock Market Volatility (2006)Cross-correlations between volume change and price change (2009)The Behavior of Stock Prices Around Institutional Trades (1995)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Optimal execution of portfolio transactions (2001)Optimization Methods in Finance (2006)Market Microstructure Invariance: Empirical Hypotheses (2016)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Optimal high-frequency trading with limit and market orders (2012)Simulating and Analyzing Order Book Data: The Queue-Reactive Model (2014)Universal features of price formation in financial markets: perspectives from deep learning (2019)Does the Stock Market Overreact? (1985)An empirical behavioral model of liquidity and volatility (2007)Does herding affect volatility? Implications for the Spanish stock market (2010)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)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 2004The Long Memory of the Efficient Market365 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
  • 2013Price Dynamics in a Markovian Limit Order Market294 cited
  • 1996Active Portfolio Management.238 cited
  • 2009Market impact and trading profile of hidden orders in stock markets219 cited
  • 1999Toward a theory of marginally efficient markets193 cited
  • 2005Order book approach to price impact169 cited
  • 2006Random walks, liquidity molasses and critical response in financial markets155 cited
  • 2005

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Institutional Investors and Stock Market Volatility
145 cited

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