Market impact and trading profile of hidden orders in stock markets

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 80, Issue 6, 2009, Pages

  Moro, Esteban ^a   Vicente, Javier ^b   Moyano, Luis G ^a   Gerig, Austin ^b,c   Farmer, J Doyne ^b,d   Vaglica, Gabriella ^e   Lillo, Fabrizio ^b,e,f   Mantegna, Rosario N ^e,f  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b SANTA FE INSTITUTE   (United States)

^c UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^d LUISS UNIVERSITY   (Italy)

^e UNIVERSITY OF PALERMO   (Italy)

^f INFM   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

HIDDEN ORDER; LONDON STOCK EXCHANGE; MARKET IMPACTS; ORDER SIZE; POWER LAW; SQUARE ROOTS; STOCK MARKET;

FINANCE;

COMMERCE;

EID: 72449179378     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.80.066102     Document Type: Article

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