We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of Huberman and Stanzl (2004) can easily be characterized by means of Bochner's theorem. This...

Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market prices, we demonstrate a relationship between the shape of the market impact function describing the average response of the market...

There is a big controversy about the consequences of High-Frequency Traders (HFTs) activity on market quality. This empirical study uses a unique data set provided by the French regulator "Autorité des Marchés Financiers" and gives some evidence concerning the practices of these members under...