Gabriella Vaglica

TL;DR: It is found that market impact is strongly concave, approximately increasing as the square root of order size, and as a given order is executed, the impact grows in time according to a power law.

TL;DR: The financial market is considered as a model system and it is shown that heterogeneity of agents is a key ingredient for the emergence of some aggregate properties characterizing this complex system.

TL;DR: In this article, the authors present a comprehensive study of the Spanish Stock Exchange showing that most financial firms trading in that market are characterized by a resulting strategy and can be classified in groups of firms with different specialization.

TL;DR: In this article, the authors present a comprehensive study of the resulting strategies followed by the firms which are members of the Spanish Stock Exchange and detect a clear asymmetry in the Granger causality between inventory variation of firms and stock return.

TL;DR: In this paper, the authors used hidden Markov models to detect trading sequences of sequential buying or selling transactions as proxies of the traded hidden orders and observed the existence of a buy-sell asymmetry in the number, average length, average fraction of market orders and average participation rate.