313 citations · 313 across the 1 of their papers we have counts for
2 papers
q-fin.TR2012
Optimal order placement in limit order markets
Rama Cont, Arseniy Kukanov
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is…
q-fin.TR2010★ 313 cited
The Price Impact of Order Book Events
Rama Cont, Arseniy Kukanov, Sasha Stoikov
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals,…