An analysis of price impact function in order-driven markets

DOI10.1016/S0378-4371(02)01888-5zbMath1072.91566MaRDI QIDQ1873949

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 mechanism; microscopic double-auction market model; random order placement

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91B26: Auctions, bargaining, bidding and selling, and other market models

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Cites Work

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