Market impact with multi-timescale liquidity

M. Benzaquen; J. P. Bouchaud

doi:10.1080/14697688.2018.1444279

Market impact with multi-timescale liquidity

M. Benzaquen
, J. P. Bouchaud

Capital Fund Management

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

10 Citations (Scopus)

Résumé

Finite-memory effects on the dynamics of the latent order book can be accounted for by allowing finite cancellation and deposition rates within a continuous reaction-diffusion set-up.

langue originale	Anglais
Pages (de - à)	1781-1790
Nombre de pages	10
journal	Quantitative Finance
Volume	18
Numéro de publication	11
Les DOIs	https://doi.org/10.1080/14697688.2018.1444279
état	Publié - 2 nov. 2018

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10.1080/14697688.2018.1444279

Contient cette citation

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title = "Market impact with multi-timescale liquidity",

abstract = "Finite-memory effects on the dynamics of the latent order book can be accounted for by allowing finite cancellation and deposition rates within a continuous reaction-diffusion set-up.",

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Market impact with multi-timescale liquidity

Résumé

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