88 citations · 158 across the 4 of their papers we have counts for
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q-fin.ST2018
Large large-trader activity weakens the long memory of limit order markets
Kevin Primicerio, Damien Challet
Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (q…
q-fin.ST2017
Wisdom of the institutional crowd
Kevin Primicerio, Damien Challet, Stanislao Gualdi
The average portfolio structure of institutional investors is shown to have properties which account for transaction costs in an optimal way. This implies that financial institutio…