5 papers
The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator
Guillaume Maitrier, Grégoire Loeper, Jean-Philippe Bouchaud
This work extends and complements our previous theoretical paper on the subtle interplay between impact, order flow and volatility. In the present paper, we generate synthetic mark…
The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework
Guillaume Maitrier, Jean-Philippe Bouchaud
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with tim…
Generating realistic metaorders from public data
Guillaume Maitrier, Grégoire Loeper, Jean-Philippe Bouchaud
This paper introduces a novel algorithm for generating realistic metaorders from public trade data, addressing a longstanding challenge in price impact research that has traditiona…
The "double" square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data
Guillaume Maitrier, Grégoire Loeper, Kiyoshi Kanazawa +1
Understanding the impact of trades on prices is a crucial question for both academic research and industry practice. It is well established that impact follows a square-root impact…
"Microstructure Modes" -- Disentangling the Joint Dynamics of Prices & Order Flow
Salma Elomari-Kessab, Guillaume Maitrier, Julius Bonart +1
Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx databas…