9 citations · 36 across the 11 of their papers we have counts for
Showing 2018Show all
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q-fin.ST2018
Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions
Damien Challet
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are…
q-fin.ST2018
Large large-trader activity weakens the long memory of limit order markets
Kevin Primicerio, Damien Challet
Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (q…
q-fin.TR2018
Dynamical regularities of US equities opening and closing auctions
Damien Challet, Nikita Gourianov
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicativ…