38 citations · 90 across the 5 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
q-fin.TR2017★ 7 cited
Nonlinear price impact from linear models
Felix Patzelt, Jean-Philippe Bouchaud
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curve…
q-fin.TR2017★ 38 cited
Universal scaling and nonlinearity of aggregate price impact in financial markets
Felix Patzelt, Jean-Philippe Bouchaud
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecew…