186 citations · 635 across the 15 of their papers we have counts for
3 papers · 2 filters
Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improve…
The square-root impact law also holds for option markets
Bence Toth, Zoltan Eisler, Jean-Philippe Bouchaud
Many independent studies on stocks and futures contracts have established that market impact is proportional to the square-root of the executed volume. Is market impact quantitativ…
Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Market impact is a key concept in the study of financial markets and several models have been proposed in the literature so far. The Transient Impact Model (TIM) posits that the pr…