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In this paper, we assume that the permanent market impact of metaorders is linear and that the price is a martingale.
Capital asset prices: A theory of market equilibrium under conditions of risk
W. F. Sharpe · 1964
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Point spectra of some mutually exciting point processes
A. G. Hawkes · 1971
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A cluster process representation of a self-exciting process
A. G. Hawkes and D. Oakes · 1974
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R. J. Shiller · 1980
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A. S. Kyle · 1985
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P. Brémaud and L. Massoulié · 2001
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J.-P. Bouchaud, Y. Gefen, M. Potters, and M. Wyart · 2004
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G. Huberman and W. Stanzl · 2004
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F. Lillo and J. D. Farmer · 2004
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F. Lillo, S. Mike, and J. D. Farmer · 2005
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X. Gabaix, P. Gopikrishnan, V. Plerou, and H. E. Stanley · 2006
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C. G. Bowsher · 2007
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J.-P. Bouchaud, J. Farmer, and F. Lillo · 2008
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E. Moro, J. Vicente, L. G. Moyano, A. Gerig, J. D. Farmer, G. Vaglica, F. Lillo, and R. N. Mantegna · 2009
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Anomalous price impact and the critical nature of liquidity in financial markets
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Why is order flow so persistent?
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E. Bacry, K. Dayri, and J.-F. Muzy · 2012
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E. Bacry, S. Delattre, M. Hoffmann, and J. F. Muzy · 2012
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J. Donier · 2012
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E. Errais, K. Giesecke, and L. R. Goldberg · 2010
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