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Price Impact
16 references·11 citing·42 second hop
Price Impact (2010)Price ImpactActive Portfolio Management (2017)Active Portfolio ManagementHow Markets Slowly Digest Changes in Supply and Demand (2009)How Markets Slowly Digest Cha…Empirical Market Microstructure (2007)Empirical Market Microstructu…Institutional Investors and Stock Market Volatility (2006)Institutional Investors and S…The predictive power of zero intelligence in financial markets (2005)The predictive power of zero …Price Manipulation and Quasi-Arbitrage (2004)Price Manipulation and Quasi-…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …Master curve for price-impact function (2003)Master curve for price-impact…Quantifying stock-price response to demand fluctuations (2002)Quantifying stock-price respo…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …Market force, ecology and evolution (2002)Market force, ecology and evo…Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Price Formation and Optimal Trading in Intraday Electricity Markets (2021)Price Formation and Optimal T…No‐arbitrage implies power‐law market impact and rough volatility (2020)No‐arbitrage implies power‐la…Modelling Fire Sale Contagion Across Banks and Non-banks (2020)Modelling Fire Sale Contagion…The Amazing Power of Dimensional Analysis: Quantifying Market Impact (2017)The Amazing Power of Dimensio…Market Impact with Multi-Timescale Liquidity (2017)Market Impact with Multi-Time…Fire Sales, Indirect Contagion and Systemic Stress Testing (2016)Fire Sales, Indirect Contagio…Dynamic Trading: Price Inertia and Front-Running (2016)Dynamic Trading: Price Inerti…Market impact as anticipation of the order flow imbalance (2015)Market impact as anticipation…A Fully Consistent, Minimal Model for Non-Linear Market Impact (2014)A Fully Consistent, Minimal M…Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets (2011)Anomalous Price Impact and th…The Price Impact of Order Book Events (2010)The Price Impact of Order Boo…What Moves Stock Prices? (1988)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Physical approach to complex systems (2012)Social physics (2022)Inferring Trade Direction from Intraday Data (1991)Market microstructure theory (1995)Inefficient Markets: An Introduction to Behavioral Finance (2002)The Long Memory of the Efficient Market (2004)Multifractal analysis of financial markets: a review (2019)A Theory of Intraday Patterns: Volume and Price Variability (1988)Why Does Stock Market Volatility Change Over Time? (1989)Order Flow and Exchange Rate Dynamics (1999)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)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)Does Algorithmic Trading Improve Liquidity? (2011)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)High-frequency trading in a limit order book (2008)Colloquium : Statistical mechanics of money, wealth, and income (2009)Cross-correlations between volume change and price change (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Empirical exchange rate models of the seventies (1983)Exchange Rate Dynamics Redux (1995)Exchange Rates, Equity Prices, and Capital Flows (2005)International Liquidity and Exchange Rate Dynamics * (2015)Trading and Arbitrage in Cryptocurrency Markets (2018)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)The Information Ratio (1998)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)No-dynamic-arbitrage and market impact (2010)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 2006Institutional Investors and Stock Market Volatility539 cited
  • 2002Market force, ecology and evolution480 cited
  • 2017Active Portfolio Management463 cited
  • 2003Master curve for price-impact function453 cited
  • 2005The predictive power of zero intelligence in financial markets452 cited
  • 2009How Markets Slowly Digest Changes in Supply and Demand442 cited
  • 2007Empirical Market Microstructure430 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes370 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 2002Quantifying stock-price response to demand fluctuations232 cited

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Cited by

  • 2020No‐arbitrage implies power‐law market impact and rough volatility62 cited
  • 2016Fire Sales, Indirect Contagion and Systemic Stress Testing50 cited
  • 2016Dynamic Trading: Price Inertia and Front-Running50 cited
  • 2010The Price Impact of Order Book Events48 cited
  • 2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets37 cited
  • 2021Price Formation and Optimal Trading in Intraday Electricity Markets30 cited
  • 2015Market impact as anticipation of the order flow imbalance29 cited
  • 2014A Fully Consistent, Minimal Model for Non-Linear Market Impact26 cited
  • 2020Modelling Fire Sale Contagion Across Banks and Non-banks23 cited
  • 2017Market Impact with Multi-Timescale Liquidity23 cited
  • 2017The Amazing Power of Dimensional Analysis: Quantifying Market Impact21 cited