38 citations · 75 across the 8 of their papers we have counts for
3 papers · 1 filter
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…
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…
Instabilities in large economies: aggregate volatility without idiosyncratic shocks
Julius Bonart, Jean-Philippe Bouchaud, Augustin Landier +1
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of…