Mechanical vs. informational components of price impact
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Publication:978856
DOI10.1140/epjb/e2006-00384-5zbMath1189.91059arXivphysics/0608271OpenAlexW3103791013MaRDI QIDQ978856
Publication date: 25 June 2010
Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0608271
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Cites Work
- More statistical properties of order books and price impact
- Large stock price changes: volume or liquidity?
- Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
- Random walks, liquidity molasses and critical response in financial markets