A fully consistent, minimal model for non-linear market impact

Quantitative Finance

Volumn 15, Issue 7, 2015, Pages 1109-1121

  Donier, J ^a,b   Bonart, J ^a,c   Mastromatteo, I ^d   Bouchaud, J P ^a,c  

^a Rue de l Université   (France)

^b SORBONNE UNIVERSITÉ   (France)

^c IMPERIAL COLLEGE LONDON   (United Kingdom)

^d ECOLE POLYTECHNIQUE   (France)

Author keywords

Limit order book; Market impact model; Market microstructure; Non arbitrage; Price formation; Reaction diffusion

Indexed keywords

EID: 84930590504     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2015.1040056     Document Type: Article

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