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Linear models for the impact of order flow on prices, I.: History dependent impact models
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 903-915
Persistent link: https://www.econbiz.de/10011910928
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Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
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Impact is not just volatility
Bucci, Frédéric; Mastromatteo, Iacopo; Benzaquen, Michael - In: Quantitative finance 19 (2019) 11, pp. 1763-1766
Persistent link: https://www.econbiz.de/10012194824
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Co-impact : crowding effects in institutional trading activity
Bucci, Frederic; Mastromatteo, Iacopo; Eisler, Zoltan; … - In: Quantitative finance 20 (2020) 2, pp. 193-205
Persistent link: https://www.econbiz.de/10012194861