Price impact and bursts in liquidity provision

DOI10.1080/14697688.2017.1420209zbMATH Open1400.91543OpenAlexW3121692108MaRDI QIDQ4554485FDOQ4554485

Authors:

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1420209

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zbMATH Keywords

high-frequency tradingprice impactadverse selectionmarket quality

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• A nonlinear autoregressive conditional duration model with applications to financial transaction data
• Continuous Auctions and Insider Trading
• Title not available (Why is that?)
• The market impact of a limit order
• Encyclopedia of quantitative finance. 4 Volumes.

Cited In (3)

• Market impact as anticipation of the order flow imbalance
• Liquidity management and stock price reactions in an economic crisis
• Volatility modeling and prediction: the role of price impact

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