Fluctuations and response in financial markets: the subtle nature of 'random' price changes

Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters, Matthieu Wyart · 2004 · Quantitative Finance

AdvancedHFTIntradayEmpiricalFree to read

Order-flow signs have long memory yet prices stay diffusive, because impact is transient. Introduces the propagator model.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT, Intraday
Data needed: Trades, L1 quotes Set what data you have
Themes: Price impact Order book models
Assets: Equities
Market: Europe

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@article{bouchaud2004fluctuations,
  author = {Bouchaud, Jean-Philippe and Gefen, Yuval and Potters, Marc and Wyart, Matthieu},
  title = {{Fluctuations and response in financial markets: the subtle nature of 'random' price changes}},
  journal = {Quantitative Finance},
  year = {2004},
  doi = {10.1080/14697680400000022}
}

Bouchaud, J.-P., Gefen, Y., Potters, M., & Wyart, M. (2004). Fluctuations and response in financial markets: the subtle nature of 'random' price changes. Quantitative Finance. https://doi.org/10.1080/14697680400000022