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We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally.
Continuous auctions and insider trading
Kyle, A. S., 1985 · 1985
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Measuring the information content of stock trades
Hasbrouck, J., 1991 · 1991
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An ordered probit analysis of transaction stock prices
Hausman, J. A., Lo, A. W. and Mackinlay, A. C., 1992 · 1992
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Institutional trades and intraday stock price behavior
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The behavior of stock prices around institutional trades
Chan, L. K.C. and Lakonishok, J., 1995 · 1995
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Keim, D. B. and Madhavan, A., 1996 · 1996
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BARRA Market Impact Model Handbook
Torre, N., 1997 · 1997
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Optimal control of execution costs
Bertismas, D. and Lo, A., 1998 · 1998
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Value under liquidation
Almgren, R.F. and Chriss, N., 1999 · 1999
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Market depth and order size
Kempf, A. and Korn, O., 1999 · 1999
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Scaling of the distribution of price fluctuations of individual companies
Plerou, V., Gopikrishnan, P., Amaral, L. A. N., Meyer, M. and Stanley, H. E., 1999 · 1999
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Zhang, Y. C., 1999 · 1999
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Optimal execution of portfolio transactions
Almgren, R.F. and Chriss, N., 2000 · 2000
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Statistical properties of share volume traded in financial markets
Gopikrishnan, P., Plerou, V., Gabaix, X. and Stanley, H. E., 2000 · 2000
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Cream-skimming and payment for order flow
Bernhardt, Dan, Hughson, Eric and Naganathan, Girish, 2002 · 2002
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Order flow and exchange rate dynamics
Evans, M. D. D. and Lyons, R. K., 2002 · 2002
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Plerou, V., Gopikrishnan, P., Gabaix, X. and Stanley, H. E., 2002 · 2002
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Market architecture: Limit order books versus dealership markets
Viswanathan, J. and Wang, James J. D., 2002 · 2002
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Optimal execution with nonlinear impact functions and trading-enhanced risk
Almgren, R.F., 2003 · 2003
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A theory of power-law distributions in financial market fluctuations
Gabaix, X., Gopikrishnan, P., Plerou, V. and Stanley, H. E., 2003 · 2003
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Discriminatory limit order books, uniform price clearing and optimality
Glosten, L. R., 2003 · 2003
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Master curve for price impact function
Lillo, F., Farmer, J. D. and Mantegna, R. N., 2003 · 2003
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More statistical properties of order books and price impact
Potters, M. and Bouchaud, J-P., 2003 · 2003
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Berk, J.B. and Green, R.C, 2004 · 2004
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Weber, P. and Rosenow, B., 2006 · 2006
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Wyart, M., Bouchaud, J.-P., Kockelkoren, J., Potters, M. and Vettorazzo, M., 2006 · 2006
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Working orders in limit order markets and floor exchanges
Back, Kerry and Baruch, Shmuel, 2007 · 2007
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The demise of constant price impact functions and single-time step models of speculation
Challet D., 2007 · 2007
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A theory for market impact: How order flow affects stock price
Gerig, A., 2007 · 2007
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Measuring and modeling execution cost and risk
Engle, R., Ferstenberg, R. and Russel, J., 2008 · 2008
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Order imbalance and individual stock returns: Theory and evidence
Chordia, T. and Subrahmanyam, A., 2004 · 2004
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What really causes large price changes?
Farmer, J. D., Gillemot, L., Lillo, F., Mike, S. and Sen, A., 2004 · 2004
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Price manipulation and quasi-arbitrage
Huberman, G. and Stanzl, W., 2004 · 2004
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Almgren, R.F., Thum, C. and Hauptmann, H. L., 2005 · 2005
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How markets slowly digest changes in supply and demand, in:
Bouchaud, J-P, Farmer, J. Doyne and Lillo, F., 2009 · 2009
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Moro, E., Moyano, L. G., Vicente, J., Gerig, A., Farmer, J. D., Vaglica, G., Lillo, F. and Mantegna, R.N., 2009 · 2009
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Comment on ‘tests of scaling and universality.’ by plerou and stanley
Racz, E., Eisler, Z. and Kertesz, J., 2009 · 2009
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No-dynamic-arbitrage and market impact
Gatheral, J., 2010 · 2010
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Technical Report
Schwartzkopf, Y. and Farmer, J.D., 2010 · 2010
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Toth, B., Lillo, F. and Farmer, J.D., 2010 · 2010
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How Prices Respond to Worked Orders
Gerig, A., Farmer, J. D., and Lillo, F., 2011 · 2011
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Anomalous price impact and the critical nature of liquidity in financial markets
Toth, B., Lemperiere, Y., Deremble, C., de Lataillade, J., Kockelkoren, J. and Bouchaud, J-P., 2011 · 2011
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Why is order flow so persistent?
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