Multi-Asset Market Impact and Order Flow Commonality

2020 ◽  
Author(s):  
Francesco Capponi ◽  
Rama Cont
Keyword(s):  
Asset Market ◽  
Order Flow ◽  
Market Impact

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

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

Cross-Asset Market Order Flow, Liquidity, and Price Discovery

2019 ◽  
Author(s):  
Robert Garrison ◽  
Pankaj K. Jain ◽  
Mark Endel Paddrik
Keyword(s):  
Price Discovery ◽  
Asset Market ◽  
Order Flow ◽  
Market Order
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