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13 - The Propagator Model

from PART VI - MARKET DYNAMICS AT THE MICRO-SCALE

Published online by Cambridge University Press:  26 February 2018

Jean-Philippe Bouchaud ,
Julius Bonart ,
Jonathan Donier  and
Martin Gould
Jean-Philippe Bouchaud
Affiliation:
Capital Fund Management, Paris
Julius Bonart
Affiliation:
University College London
Jonathan Donier
Affiliation:
Capital Fund Management
Martin Gould
Affiliation:
CFM - Imperial Institute of Quantitative Finance
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Type
Chapter
Information
Trades, Quotes and Prices
Financial Markets Under the Microscope
 , pp. 249 - 269
Publisher: Cambridge University Press
Print publication year: 2018

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References

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, 4(2), 176–190.CrossRefGoogle Scholar
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Bouchaud, J. P., Farmer, J. D., & Lillo, F. (2009). How markets slowly digest changes in supply and demand. In Hens, T. & Schenke-Hoppe, K. R. (Eds.), Handbook of financial markets: Dynamics and evolution. North-Holland, Elsevier.Google Scholar
Eisler, Z. J. Kockelkoren, J., & Bouchaud, J. P. (2012). Models for the impact of all order book events. In Abergel, F., Bouchaud, J.-P., Foucault, T., Lehalle, C.-A., & Rosenbaum, M. (Eds.), Market microstructure: Confronting many viewpoints. Wiley Google Scholar
Taranto, D. E., Bormetti, G., Bouchaud, J. P., Lillo, F., & Tóth, B. (2016). Linear models for the impact of order flow on prices I. Propagators: Transient vs. history dependent impact. Available at SSRN: https://ssrn.com/abstract=2770352.
Tóth, B., Eisler, Z., & Bouchaud, J.-P. (2017). The short-term price impact of trades is universal. https://ssrn.com/abstract=2924029.
Hasbrouck, J. (1991). Measuring the information content of stock trades. The Journal of Finance, 46(1), 179–207.CrossRefGoogle Scholar
Jones, C. M., Kaul, G., & Lipson, M. L. (1994). Transactions, volume, and volatility. Review of Financial Studies, 7(4), 631–651.CrossRefGoogle Scholar
Hasbrouck, J. (2007). Empirical market microstructure: The institutions, economics, and econometrics of securities trading. Oxford University Press.Google Scholar
Farmer, J. D., Gerig, A., Lillo, F., & Waelbroeck, H. (2013). How efficiency shapes market impact. Quantitative Finance, 13(11), 1743–1758.CrossRefGoogle Scholar
Donier, J., Bonart, J., Mastromatteo, I., & Bouchaud, J. P. (2015). A fully consistent, minimal model for non-linear market impact. Quantitative Finance, 15(7), 1109–1121.CrossRefGoogle Scholar

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