Exponential resilience and decay of market impact

New Economic Windows

Volumn 9, Issue , 2011, Pages 225-236

  Gatheral, Jim ^a   Schied, Alexander ^b   Slynko, Alla ^b  

^a CITY UNIVERSITY OF NEW YORK   (United States)

^b UNIVERSITY OF MANNHEIM   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84874559372     PISSN: 2039411X     EISSN: 20394128     Source Type: Book Series    
DOI: 10.1007/978-88-470-1766-5_15     Document Type: Article

References (8)

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2. Alfonsi A., Schied A. (2010) Optimal execution and absence of price manipulations in limit order book models. SIAM J. Financial Math. 1:490-522
3. Alfonsi A., Schied A., Slynko A. (2009) Order book resilience, price manipulations, and the positive portfolio problem. Available at SSRN: papers.ssrn.com/sol3/papers.cfm?abstract id=1498514
4. Almgren R., Chee T., Hauptmann E., Li H. (2005) Equity market impact Risk Magazine July 2005:57-62
5. Bouchaud J.-P., Gefen Y., Potters M., Wyart M. (2004) Fluctuations and response in financial markets: the subtle nature of 'random' price changes. Quantitative Finance 4:176-190
6. Gatheral J. (2010) No-Dynamic-Arbitrage and Market Impact. Quantitative Finance 10: Forthcoming
7. Gatheral J., Schied A., Slynko A. (2010) Transient linear price impact and Fredholm integral equations. Available at SSRN: papers.ssrn.com/sol3/papers.cfm?abstract id=1531466
8. Obizhaeva A., Wang J. (2005) Optimal trading strategy and supply/demand dynamics. Available at SSRN: papers.ssrn.com/sol3/papers.cfm?abstract id=686168