How efficiency shapes market impact

Quantitative Finance

Volumn 13, Issue 11, 2013, Pages 1743-1758

  Farmer, J Doyne ^a,b   Gerig, Austin ^c   Lillo, Fabrizio ^b,d,e   Waelbroeck, Henri ^f  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b SANTA FE INSTITUTE   (United States)

^c UNIVERSITY OF OXFORD   (United Kingdom)

^d SCUOLA NORMALE SUPERIORE   (Italy)

^e Dipartimento di Chimica Fisica F Accascina   (Italy)

^f Portware LLC   (United States)

Author keywords

Market efficiency; Market microstructure; Trading costs; Trading strategies

Indexed keywords

EID: 84890437033     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2013.848464     Document Type: Article

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