Trading with Concave Price Impact and Impact Decay—Theory and Evidence
References
- (2022) Optimal liquidation with signals: The general propagator case. Preprint, submitted November 1, https://arxiv.org/abs/2211.00447.Google Scholar
- (2021) Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. Finance Stochastics 25(4):757–810.Crossref, Google Scholar
- (2010) Optimal execution strategies in limit order books with general shape functions. Quant. Finance 10(2):143–157.Crossref, Google Scholar
- (2003) Optimal execution with nonlinear impact functions and trading-enhanced risk. Appl. Math. Finance 10(1):1–18.Crossref, Google Scholar
- (2005) Direct estimation of equity market impact. Risk 18(7):58–62.Google Scholar
- (2015) Market impacts and the life cycle of investors orders. Market Microstructure Liquidity 1(2):1550009.Crossref, Google Scholar
- (2013) The non-linear market impact of large trades: Evidence from buy-side order flow. Quant. Finance 13(11):1759–1778.Crossref, Google Scholar
- (1995) An empirical analysis of the limit order book and the order flow in the Paris bourse. J. Finance 50(5):1655–1689.Crossref, Google Scholar
- (2009) How markets slowly digest changes in supply and demand. Hens T, Schenk-Hoppé KR, eds. Handbook of Financial Markets: Dynamics and Evolution (North-Holland, Amsterdam), 57–160.Crossref, Google Scholar
- (2018) Trades, Quotes and Prices (Cambridge University Press, Cambridge, UK).Crossref, Google Scholar
- (2004) Fluctuations and response in financial markets: The subtle nature of random price changes. Quant. Finance 4(2):176–190.Crossref, Google Scholar
- (2015) Slow decay of impact in equity markets. Market Microstructure Liquidity 1(2):1550007.Crossref, Google Scholar
- (2019a) Crossover from linear to square-root market impact. Phys. Rev. Lett. 122(10):108302.Crossref, Google Scholar
- (2019b) Slow decay of impact in equity markets: Insights from the ANcerno database. Market Microstructure Liquidity 4(3–4):1950006.Google Scholar
- (2020) Transaction costs, portfolio characteristics, and mutual fund performance. Management Sci. 67(2):1227–1248.Link, Google Scholar
- (2012) A proposal for impact-adjusted valuation: Critical leverage and execution risk. Preprint, submitted April 4, https://arxiv.org/abs/1204.0922.Google Scholar
- (2019) The self-financing equation in limit order book markets. Finance Stochastics 23(3):729–759.Crossref, Google Scholar
- (2019) Portfolio liquidation under transient price impact—Theoretical solution and implementation with 100 NASDAQ stocks. Preprint, submitted December 13, https://arxiv.org/abs/1912.06426.Google Scholar
- (2021) Cross-impact of order flow imbalance in equity markets. Quant. Finance 23(10):1373–1393.Crossref, Google Scholar
- (2013) The price impact of order book events. J. Financial Econometrics 12(1):47–88.Crossref, Google Scholar
- (2004) Resiliency in an automated auction. https://www.researchgate.net/publication/228364716_Resiliency_in_an_automated_auction.Google Scholar
- (2005) Aggressive orders and the resiliency of a limit order market. Rev. Finance 9(2):201–242.Crossref, Google Scholar
- (2015) A fully consistent, minimal model for non-linear market impact. Quant. Finance 15(7):1109–1121.Crossref, Google Scholar
- (2018) Trading costs. Preprint, submitted August 22, https://dx.doi.org/10.2139/ssrn.3229719.Google Scholar
- (2013) Optimal trade execution and price manipulation in order books with time-varying liquidity. Math. Finance 24(4):651–695.Crossref, Google Scholar
- (2019) Optimal trade execution and price manipulation in order books with stochastic liquidity. Math. Finance 29(2):507–541.Crossref, Google Scholar
- (2006) Institutional investors and stock market volatility. Quart. J. Econom. 121(2):461–504.Crossref, Google Scholar
- (2013) Dynamic trading with predictable returns and transaction costs. J. Finance 68(6):2309–2340.Crossref, Google Scholar
- (2016) Dynamic portfolio choice with frictions. J. Econom. Theory 165:487–516.Crossref, Google Scholar
- (1980) On the estimation of security price volatilities from historical data. J. Bus. 53(1):67–78.Crossref, Google Scholar
- (2010) No-dynamic-arbitrage and market impact. Quant. Finance 10(7):749–759.Crossref, Google Scholar
- (2012) Transient linear price impact and Fredholm integral equations. Math. Finance 22(3):445–474.Crossref, Google Scholar
- (2020) Nonlinear price impact and portfolio choice. Math. Finance 30(2):341–376.Crossref, Google Scholar
- (2022) Quantifying long-term market impact. J. Portfolio Management 48(3):25–46.Crossref, Google Scholar
- (1991) Measuring the information content of stock trades. J. Finance 46(1):179–207.Crossref, Google Scholar
- (2001) Common factors in prices, order flows, and liquidity. J. Financial Econom. 59(3):383–411.Crossref, Google Scholar
- (2024) The cost of misspecifying price impact. Risk (January 10), https://www.risk.net/investing/7958754/the-cost-of-mis-specifying-price-impact.Google Scholar
- (2021) Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage (John Wiley & Sons, Hoboken, NJ).Google Scholar
- (2023) Do you really know your P&L? The importance of impact-adjusting the P&L. Preprint, submitted January 23, https://dx.doi.org/10.2139/ssrn.4331027.Google Scholar
- (2023) Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book. Math. Finance 33(4):1044–1081.Crossref, Google Scholar
- (2003) Master curve for price-impact function. Nature 421(6919):129–130.Crossref, Google Scholar
- (1983) Trading cost: The critical link between investment information and results. Financial Anal. J. 39(3):39–44.Crossref, Google Scholar
- (2022) The 2022 Intern’s Guide to Trading. https://www.nasdaq.com/articles/the-2022-interns-guide-to-trading.Google Scholar
- (2022) Cross-sectional variation of intraday liquidity, cross-impact, and their effect on portfolio execution. Oper. Res. 70(2):830–846.Link, Google Scholar
- (2024) Stochastic liquidity as a proxy for nonlinear price impact. Oper. Res. 72(2):444–458.Link, Google Scholar
- (2023) An offline learning approach to propagator models. Preprint, submitted September 6, https://arxiv.org/abs/2309.02994.Google Scholar
- (2013) Optimal trading strategy and supply/demand dynamics. J. Financial Markets 16(1):1–32.Crossref, Google Scholar
- (2017) The short-term price impact of trades is universal. Market Microstructure Liquidity 3(2):1850002.Crossref, Google Scholar
- (2011) Anomalous price impact and the critical nature of liquidity in financial markets. Phys. Rev. X 1(2):021006.Google Scholar
- (2023) Handbook of Price Impact Modeling (CRC Press, Boca Raton, FL).Crossref, Google Scholar

