A market-induced mechanism for stock pinning

Quantitative Finance

Volumn 3, Issue 6, 2003, Pages 417-425

  Avellaneda, Marco ^a   Lipkin, Michael D ^b  

^a NEW YORK UNIVERSITY   (United States)

^b American Stock Exchange   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0347592715     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1088/1469-7688/3/6/301     Document Type: Article

References (4)

1. Billingsley P 1999 Convergence of Probability Measures 2nd edn (New York: Wiley)
2. Daniels M G, Farmer J D, Gillemot L, Iori G and Smith E 2002 A quantitative model of trading and price formation in financial markets Los Alamos National Laboratory preprint cond-mat/0112422
3. Krishnan H and Nelken 12001 The effect of stock pinning upon option prices RISK December
4. Lillo F, Farmer J D and Mantegna R N 2003 Master curve for price-impact function Nature 421 (January) 129-30