14 citations · 27 across the 5 of their papers we have counts for
4 papers · 1 filter
Market Impact of Small Orders
Oleh Danyliv
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orde…
An instantaneous market volatility estimation
Oleh Danyliv, Bruce Bland
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the…
Random walk model from the point of view of algorithmic trading
Oleh Danyliv, Bruce Bland, Alexandre Argenson
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the…
Convenient liquidity measure for Financial markets
Oleh Danyliv, Bruce Bland, Daniel Nicholass
A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a t…