An analysis of price impact function in order-driven markets (Q1873949): Difference between revisions
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| Property / cites work: Statistical theory of the continuous double auction / rank | |||
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| Property / cites work: A simulation analysis of the microstructure of double auction markets* / rank | |||
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| Property / cites work: Analyzing and modeling 1+1d markets / rank | |||
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| Property / cites work: Statistical properties of stock order books: empirical results and models / rank | |||
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| Property / cites work: The power of patience: a behavioural regularity in limit-order placement / rank | |||
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Revision as of 16:42, 5 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analysis of price impact function in order-driven markets |
scientific article |
Statements
An analysis of price impact function in order-driven markets (English)
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21 May 2003
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microscopic double-auction market model
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random order placement
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central order matching mechanism
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