Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders

DOI10.1080/14697688.2014.963140zbMath1398.91519OpenAlexW3125723224MaRDI QIDQ4683095

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Publication date: 19 September 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2014.963140

zbMATH Keywords

market efficiencymarket microstructuremarket impactfair priceimplementation shortfallactive fund managementpermanent impactsunshine trading

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (9)

Mean field game of controls and an application to trade crowding ⋮ Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades? ⋮ Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows ⋮ Market impact with multi-timescale liquidity ⋮ Apparent impact: the hidden cost of one-shot trades ⋮ A fully consistent, minimal model for non-linear market impact ⋮ Market impact as anticipation of the order flow imbalance ⋮ Market impact: a systematic study of the high frequency options market ⋮ Liquidation with self-exciting price impact

Cites Work

• No-dynamic-arbitrage and market impact
• How efficiency shapes market impact
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• Institutional Investors and Stock Market Volatility
• Do supply and demand drive stock prices?
• Continuous Auctions and Insider Trading
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
• Optimal execution strategies in limit order books with general shape functions
• Price Manipulation and Quasi-Arbitrage
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?

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