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Linear models for the impact of order flow on prices. I. History dependent impact models |
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| Authors: | Damian Eduardo Taranto Giacomo Bormetti Jean-Philippe Bouchaud Fabrizio Lillo Bence Tóth |
| Institution: | 1. Scuola Normale Superiore, Piazza dei Cavalieri 7, 56126Pisa, Italy.;2. Department of Mathematics, University of Bologna, Piazza di Porta San Donato 5, 40126Bologna, Italy.;3. Capital Fund Management, 23-25, Rue de l’Université, 75007Paris, France.;4. Department of Mathematics, University of Bologna, Piazza di Porta San Donato 5, 40126Bologna, Italy. |
| Abstract: | |
| Keywords: | Market microstructure Price formation Market impact model Liquidity modelling |