Agent-based models for latent liquidity and concave price impact

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 89, Issue 4, 2014, Pages

  Mastromatteo, Iacopo ^a   Tóth, Bence ^a   Bouchaud, Jean Philippe ^a  

^a Capital Fund Management   (France)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; COSTS;

AGENT-BASED MODEL; FINANCIAL MARKET; NON-LINEAR IMPACT; NUMERICAL IMPLEMENTATION; ORIGINAL MODEL; SQUARE-ROOT DEPENDENCE; SUPERDIFFUSION; THEORETICAL FRAMEWORK;

FINANCIAL DATA PROCESSING;

EID: 84899724440     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.89.042805     Document Type: Article

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