79 citations · 106 across the 10 of their papers we have counts for
Showing 2014Show all
2 papers · 1 filter
q-fin.TR2014
A Million Metaorder Analysis of Market Impact on the Bitcoin
Jonathan Donier, Julius Bonart
We present a thorough empirical analysis of market impact on the Bitcoin/USD exchange market using a complete dataset that allows us to reconstruct more than one million metaorders…
q-fin.TR2014
A fully consistent, minimal model for non-linear market impact
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo +1
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framewo…