An analysis of price impact function in order-driven markets

DOI10.1016/S0378-4371(02)01888-5MaRDI QIDQ1873949zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 21 May 2003

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(02)01888-5

zbMATH Keywords

central order matching mechanismmicroscopic double-auction market modelrandom order placement

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A simulation analysis of the microstructure of double auction markets
• Analyzing and modeling 1+1d markets
• Statistical properties of stock order books: empirical results and models
• Statistical theory of the continuous double auction
• The power of patience: a behavioural regularity in limit-order placement

Cited in

(19)

• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
• Order book approach to price impact
• Statistical theory of the continuous double auction
• Optimal execution with price impact under cumulative prospect theory
• Increase in equilibrium price by fast oscillations
• A simulation analysis of the microstructure of double auction markets
• The price impact of order book events: market orders, limit orders and cancellations
• Optimal execution in high-frequency trading with Bayesian learning
• Interacting gaps model, dynamics of order book, and stock-market fluctuations
• More statistical properties of order books and price impact
• The tick-by-tick dynamical consistency of price impact in limit order books
• Market impact as anticipation of the order flow imbalance
• A one-level limit order book model with memory and variable spread
• A multi agent model for the limit order book dynamics
• Investments in random environments
• Analysis of a decision model in the context of equilibrium pricing and order book pricing
• Linear models for the impact of order flow on prices. I. History dependent impact models
• Simple stochastic order-book model of swarm behavior in continuous double auction
• Functional modelling of volatility in the Swedish limit order book

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