38 citations · 75 across the 8 of their papers we have counts for
Showing 2014 · q-fin.TRShow all
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q-fin.TR2014
A Million Metaorder Analysis of Market Impact on the Bitcoin
Jonathan Donier, Julius Bonart
We present a thorough empirical analysis of market impact on the Bitcoin/USD exchange market using a complete dataset that allows us to reconstruct more than one million metaorders…
q-fin.TR2014
A fully consistent, minimal model for non-linear market impact
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo +1
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framewo…