Farmer, J. Doyne; Zamani, N. - In: The European Physical Journal B - Condensed Matter and … 55 (2007) 2, pp. 189-200
We study the problem of what causes prices to change. It is well known that trading impacts prices — orders to buy drive the price up, and orders to sell drive it down. We introduce a means of decomposing the total impact of trading into two components, defining the mechanical impact of a...