Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Physical Review X

Volumn 1, Issue 2, 2011, Pages 1-11

  Toth B ^a   Lemperiere Y ^a   Deremble, C ^a   De Lataillade, J ^a   Kockelkoren, J ^a   Bouchaud, J P ^a  

^a Capital Fund Management   (France)

Author keywords

Complex Systems; Interdisciplinary Physics; Statistical Physics

Indexed keywords

DYNAMICAL THEORY; FINANCIAL MARKET; INTERDISCIPLINARY PHYSICS; LINEAR RESPONSE; LONG MEMORIES; MARKET LIQUIDITY; ORDER FLOW; PRICE IMPACTS; SQUARE-ROOT; STATISTICAL PHYSICS; STYLIZED FACTS;

COSTS; LARGE SCALE SYSTEMS;

FINANCIAL DATA PROCESSING;

EID: 84863561779     PISSN: None     EISSN: 21603308     Source Type: Journal    
DOI: 10.1103/PhysRevX.1.021006     Document Type: Article

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