347 citations · 1.3k across the 32 of their papers we have counts for
3 papers · 1 filter
Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate
Elia Zarinelli, Michele Treccani, J. Doyne Farmer +1
We make an extensive empirical study of the market impact of large orders (metaorders) executed in the U.S. equity market between 2007 and 2009. We show that the square root market…
Studies of the limit order book around large price changes
Bence Toth, Janos Kertesz, J. Doyne Farmer
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measu…
How markets slowly digest changes in supply and demand
Jean-Philippe Bouchaud, J. Doyne Farmer, Fabrizio Lillo
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work expl…