Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
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Publication:4683095
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Cites work
- Continuous Auctions and Insider Trading
- Do supply and demand drive stock prices?
- Fluctuations and response in financial markets: the subtle nature of `random' price changes
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- How efficiency shapes market impact
- Institutional Investors and Stock Market Volatility
- Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
- No-dynamic-arbitrage and market impact
- Optimal execution strategies in limit order books with general shape functions
- Price Manipulation and Quasi-Arbitrage
- The price impact of order book events: market orders, limit orders and cancellations
Cited in
(15)- Liquidation with self-exciting price impact
- Market impact with multi-timescale liquidity
- What is the value of knowing uninformed trades?
- Do price trajectory data increase the efficiency of market impact estimation?
- Apparent impact: the hidden cost of one-shot trades
- A fully consistent, minimal model for nonlinear market impact
- Assessing influential trade effects via high-frequency market reactions
- Mean field game of controls and an application to trade crowding
- Market impact: a systematic study of the high frequency options market
- Market impact as anticipation of the order flow imbalance
- Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
- Co-impact: crowding effects in institutional trading activity
- Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?
- Are trading invariants really invariant? Trading costs matter
- Mechanical vs. informational components of price impact
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