23 citations · 25 across the 3 of their papers we have counts for
3 papers
q-fin.ST2008★ 23 cited
A Theory for Market Impact: How Order Flow Affects Stock Price
Austin Gerig
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests…
nlin.CD2007
Chaos in a one-dimensional compressible flow
Austin Gerig, Alfred Hubler
We study the dynamics of a one-dimensional discrete flow with open boundaries - a series of moving point particles connected by ideal springs. These particles flow towards an inlet…
physics.soc-ph2006★ 2 cited
Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?
J. Doyne Farmer, Austin Gerig, Fabrizio Lillo +1
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that effi…