Market Impact and Trading Profile of Hidden Orders in Stock Markets
Esteban Moro,Esteban Moro,Javier Vicente,Luis G. Moyano,Aurig Gerig,Aurig Gerig,Doyne James Farmer,Doyne James Farmer,Gabriella Vaglica,Fabrizio Lillo,Fabrizio Lillo,Rosario N. Mantegna +11 more
TLDR
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.Citations
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Proceedings of the National Academy of Sciences
Sylvain Doré,Masaaki Takahashi,Christopher D. Ferris,Randa Zakhary,Lynda D. Hester,Daniel Guastella,Solomon H. Snyder +6 more
Posted Content
Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
TL;DR: The authors showed that large price jumps cannot be explained by news and are the result of endogenous feedback loops, for which they proposed a new measure inspired by recent theories of market impact and based on readily available, public information.
Journal ArticleDOI
Hawkes model for price and trades high-frequency dynamics
TL;DR: In this article, a multivariate Hawkes process is introduced to account for the dynamics of market prices through the impact of market order arrivals at microstructural level, which is a point process mainly characterized by four kernels associated with, respectively, the trade arrival self-excitation, the price changes mean reversion, impact of trade arrivals on price variations and the feedback of price changes on trading activity.
Journal ArticleDOI
Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets
Bence Toth,Yves Lemperiere,Cyril Deremble,J. de Lataillade,Julien Kockelkoren,Jean-Philippe Bouchaud +5 more
TL;DR: In this paper, a group of physicists working in a French investment company offer an explanation for why the price change of a stock goes as the square root of the amount traded, and why the dynamics of financial markets turbulent.
References
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Journal ArticleDOI
A theory of power-law distributions in financial market fluctuations
Xavier Gabaix,Parameswaran Gopikrishnan,Parameswaran Gopikrishnan,Vasiliki Plerou,H. Eugene Stanley +4 more
TL;DR: This model is based on the hypothesis that large movements in stock market activity arise from the trades of large participants, and explains certain striking empirical regularities that describe the relationship between large fluctuations in prices, trading volume and the number of trades.
Journal ArticleDOI
Optimal execution of portfolio transactions
Robert Almgren,Neil Chriss +1 more
TL;DR: In this paper, the authors consider the execution of portfolio transactions with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact, and they explicitly construct the efficient frontier in the space of time-dependent liquidation strategies, which have minimum expected cost for a given level of uncertainty.
Journal ArticleDOI
Optimal control of execution costs
Dimitris Bertsimas,Andrew W. Lo +1 more
TL;DR: In this article, the authors derive dynamic optimal trading strategies that minimize the expected cost of trading a large block of equity over a fixed time horizon, given a fixed block of shares to be executed within a fixed finite number of periods.