To insert individual citation into a bibliography in a word-processor,
select your preferred citation style below and drag-and-drop it into the document.
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5–0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.
CiteULike organises scholarly (or academic) papers or literature and provides bibliographic
(which means it makes bibliographies) for universities and higher education establishments.
It helps undergraduates and postgraduates. People studying for PhDs or in postdoctoral (postdoc) positions.
The service is similar in scope to EndNote or RefWorks or any other reference manager
like BibTeX, but it is a social bookmarking service for scientists and humanities researchers.
There are no reviews yet
Find related articles from these CiteULike users
