Linear models for the impact of order flow on prices, I.: History dependent impact models
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Tóth
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Taranto, Damian Eduardo ; Bormetti, Giacomo ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Tóth, Bence |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 903-915
|
| Subject: | Market microstructure | Price formation | Market impact model | Liquidity modelling | Marktmikrostruktur | Börsenkurs | Share price | Theorie | Theory | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1395903 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011910928