An analysis of price impact function in order-driven markets

Physica A: Statistical Mechanics and its Applications

Volumn 324, Issue 1-2, 2003, Pages 146-151

  Iori, G ^a   Daniels, M G ^b   Farmer, J D ^b   Gillemot, L ^b   Krishnamurthy, S ^b   Smith, E ^b  

^a KING'S COLLEGE LONDON   (United Kingdom)

^b SANTA FE INSTITUTE   (United States)

Author keywords

Limit order trading; Liquidity; Price impact function

Indexed keywords

ELECTRONIC COMMERCE; FUNCTIONS; INVESTMENTS; MARKETING; RANDOM PROCESSES;

LIMIT ORDER MARKETS;

ECONOMICS;

EID: 0038576444     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01888-5     Document Type: Conference Paper

References (7)

1. Lillo F., Doyne Farmer J., N. Mantegna Rosario Single curve collapse of the price impact function for the New York stock exchange. Nature. 421:2003;129-130.
2. Marcus G. Daniels, J. Doyne Farmer, Giulia Iori, Eric Smith, How storing supply and demand affects price diffusion, http://xxx.lanl.gov/cond-mat/0112422 .
3. E. Smith, J. Doyne Farmer, L. Gillemot, S. Krishnamurthy, Statistical theory of the continuous double auction, http://xxx.lanl.gov/cond-mat/0210475 .
4. Iori G., Chiarella C. A simple microstructure model of double auction markets. Quantitative Finance. 2(5):2002;346-353.
5. Challet D., Stinchcombe R. Analyzing and modelling 1+1d markets. Physica A. 300:2001;285.
6. Bouchaud J.-P., Mezard M., Potters M. Statistical properties of stock order books: empirical results and models. Quantitative Finance. 2(4):2002;251-256.
7. I. Zovko Ilija, Doyne Farmer J. The power of patience. a behavioral regularity in limit order placement Quantitative Finance. 2(5):2002;387-392.