The non-linear market impact of large trades: Evidence from buy-side order flow

Quantitative Finance

Volumn 13, Issue 11, 2013, Pages 1759-1778

  Bershova, Nataliya ^a   Rakhlin, Dmitry ^a  

^a Quantitative Trading   (United States)

Author keywords

Market impact; Order size; Permanent impact; Price reversion and liquidity

Indexed keywords

EID: 84890369670     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2013.861076     Document Type: Article

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