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q-fin.TR2016
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…
q-fin.TR2016★ 1 cited
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…