The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow

2013 ◽  
Author(s):  
Nataliya Bershova ◽  
Dmitry Rakhlin
Keyword(s):  
Order Flow ◽  
Market Impact ◽  
Non Linear

The non-linear market impact of large trades: evidence from buy-side order flow

2013 ◽  
Vol 13 (11) ◽  
pp. 1759-1778 ◽  
Author(s):  
Nataliya Bershova ◽  
Dmitry Rakhlin
Keyword(s):  
Order Flow ◽  
Market Impact ◽  
Non Linear

scholarly journals A fully consistent, minimal model for non-linear market impact

2015 ◽  
Vol 15 (7) ◽  
pp. 1109-1121 ◽  
Author(s):  
J. Donier ◽  
J. Bonart ◽  
I. Mastromatteo ◽  
J.-P. Bouchaud
Keyword(s):  
Minimal Model ◽  
Market Impact ◽  
Non Linear

scholarly journals Optimal execution with non-linear transient market impact

2016 ◽  
Vol 17 (1) ◽  
pp. 41-54 ◽  
Author(s):  
Gianbiagio Curato ◽  
Jim Gatheral ◽  
Fabrizio Lillo
Keyword(s):  
Market Impact ◽  
Optimal Execution ◽  
Non Linear

Effect of order flow imbalance on market impact across market states

2016 ◽  
Author(s):  
Andrew Kromkowski ◽  
Mason Montgomery ◽  
Kaustav Saha ◽  
Feiyin Wu ◽  
Peter Beling
Keyword(s):  
Order Flow ◽  
Market Impact ◽  
Flow Imbalance
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