Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Bence Tóth, Yves Lempérière, Cyril Deremble, Joachim de Lataillade, Julien Kockelkoren, Jean-Philippe Bouchaud · 2011 · Physical Review X

IntermediateIntradayLFTEmpiricalFree to read

Evidence and a mechanism for the square-root impact law (impact ∝ σ√(Q/V)) from a fund's own metaorders.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday, LFT
Data needed: Trades Set what data you have
Themes: Price impact
Assets: Futures
Market: Global

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Cite

@article{toth2011anomalous,
  author = {Tóth, Bence and Lempérière, Yves and Deremble, Cyril and de Lataillade, Joachim and Kockelkoren, Julien and Bouchaud, Jean-Philippe},
  title = {{Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets}},
  journal = {Physical Review X},
  year = {2011},
  doi = {10.1103/physrevx.1.021006}
}

Tóth, B., Lempérière, Y., Deremble, C., de Lataillade, J., Kockelkoren, J., & Bouchaud, J.-P. (2011). Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets. Physical Review X. https://doi.org/10.1103/physrevx.1.021006