Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Fr'ed'eric Bucci"'
Autor:
Charles-Albert Lehalle, Fr'ed'eric Bucci, Fabrizio Lillo, Iacopo Mastromatteo, Jean-Philippe Bouchaud, Zoltan Eisler
Publikováno v:
Quantitative Finance. 20:193-205
This paper is devoted to the important yet unexplored subject of crowding effects on market impact, that we call "co-impact". Our analysis is based on a large database of metaorders by institutional investors in the U.S. equity market. We find that t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8ad27f090d5476357dad137bec701f0f
https://doi.org/10.1080/14697688.2019.1660398
https://doi.org/10.1080/14697688.2019.1660398
Publikováno v:
SSRN Electronic Journal.
We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the meta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6b5b5d4e8f8faaa6970747280f3eb963
https://doi.org/10.2139/ssrn.3316897
https://doi.org/10.2139/ssrn.3316897
Publikováno v:
Market Microstructure and Liquidity. :1950006
We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the meta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bd03593ca200c8e8acc14b8081b1489a
https://doi.org/10.1142/s2382626619500060
https://doi.org/10.1142/s2382626619500060