186 citations · 359 across the 12 of their papers we have counts for
3 papers · 1 filter
Models for the impact of all order book events
Zoltan Eisler, Jean-Philippe Bouchaud, Julien Kockelkoren
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling r…
Anomalous price impact and the critical nature of liquidity in financial markets
Bence Toth, Yves Lemperiere, Cyril Deremble +3
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is gener…
How does the market react to your order flow?
Bence Toth, Zoltan Eisler, Fabrizio Lillo +3
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identi…