The price impact of order book events: Market orders, limit orders and cancellations

Quantitative Finance

Volumn 12, Issue 9, 2012, Pages 1395-1419

  Eisler, Zoltán ^a   Bouchaud, Jean Philippe ^a   Kockelkoren, Julien ^a  

^a Capital Fund Management   (France)

Author keywords

Limit orders; Market microstructure; Markov processes; Price formation

Indexed keywords

EID: 84863561770     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2010.528444     Document Type: Article

References (20)

1. Biais, B and Weill, P-O. 2009. Liquidity shocks and order book dynamics. nBER Working Paper, 15009,
2. Bouchaud, JP and Potters, M. 2000. Theory of Financial Risk, Cambridge: Cambridge University Press.
3. Bouchaud, J-P, Gefen, Y, Potters, M and Wyart, M. 2004. Fluctuations and response in financial markets: The subtle nature of 'random' price changes. Quant. Finance, 4: 176-190.
4. Bouchaud, J-P, Kockelkoren, J and Potters, M. 2006. Random walks, liquidity molasses and critical response in financial markets. Quant. Finance, 6: 115-123.
5. Bouchaud, J-P, Farmer, JD and Lillo, F. 2009. "How markets slowly digest changes in supply and demand". In In: Handbook of Financial Markets: Dynamics and Evolution, Amsterdam: North-Holland.
6. Farmer, JD and Zamani, N. 2007. Mechanical vs. informational components of price impact. Eur. Phys. J. B, 55: 189-200.
7. Farmer, JD, Gillemot, L, Lillo, F, Mike, S and Sen, A. 2004. What really causes large price changes?. Quant. Finance, 4: 383-397.
8. Farmer, JD, Gerig, A, Lillo, F and Mike, S. 2006. Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?. Quant. Finance, 6: 107-112.
9. Gerig, A. 2008. "A theory for market impact: How order flow affects stock price". In PhD thesis (arXiv:0804.3818)
10. Hasbrouck, J. 1991. Measuring the information content of stock trades. J. Finance, 46: 176-197.
11. Hasbrouck, J. 2007. Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, Oxford: Oxford University Press.
12. Hautsch, N. and Huang, R., The market impact of a limit order. Working Paper 2009/23, Center for Financial Studies, Frankfurt am Main, 2009
13. Hendershott, T, Jones, CM and Menkveld, AJ. 2008. Does algorithmic trading improve liquidity?. J. Finance, forthcoming
14. Jones, C, Kaul, G and Lipson, ML. 1994. Transactions, volume, and volatility. Rev. Financial Stud., 7: 631-651.
15. Kyle, A. 1985. Continuous auctions and insider trading. Econometrica, 53: 1315-1335.
16. Lillo, F and Farmer, JD. 2004. The long memory of the efficient market. Stud. Nonlinear Dynam. Econometr., 8: 1
17. Lyons, RK. 2006. The Microstructure Approach to Exchange Rates, Cambridge, MA: MIT Press.
18. Mike, S and Farmer, JD. 2008. An empirical behavioral model of liquidity and volatility. J. Econ. Dynam. Control, 32: 200-234.
19. Ponzi, A., Lillo, F. and Mantegna, R.N., Market reaction to a bid-ask spread change: A power-law relaxation dynamics. Phys. Rev. E, 2009, 80, 016112
20. Weber, P and Rosenow, B. 2005. Order book approach to price impact. Quant. Finance, 5: 357-364.