90 citations · 150 across the 4 of their papers we have counts for
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q-fin.TR2011★ 12 cited
Impact of meta-order in the Minority Game
Andre Cardoso Barato, Iacopo Mastromatteo, Marco Bardoscia +1
We study the market impact of a meta-order in the framework of the Minority Game. This amounts to studying the response of the market when introducing a trader who buys or sells a…
q-fin.TR2009★ 90 cited
Eroding market stability by proliferation of financial instruments
Fabio Caccioli, Matteo Marsili, Pierpaolo Vivo
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setti…