Science-advisor
REGISTER info/FAQ
Login
username
password
     
forgot password?
register here
 
Research articles
  search articles
  reviews guidelines
  reviews
  articles index
My Pages
my alerts
  my messages
  my reviews
  my favorites
 
 
Stat
Members: 3667
Articles: 2'599'751
Articles rated: 2609

08 February 2025
 
  » arxiv » 1109.0119

 Article overview



Individual impact of agent actions in financial markets
Alex J. Bladon ; Esteban Moro ; Tobias Galla ;
Date 1 Sep 2011
AbstractWe present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics which apply uniformly to all trades and suggests that rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact.
Source arXiv, 1109.0119
Services Forum | Review | PDF | Favorites   
 
Visitor rating: did you like this article? no 1   2   3   4   5   yes

No review found.
 Did you like this article?

This article or document is ...
important:
of broad interest:
readable:
new:
correct:
Global appreciation:

  Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.






ScienXe.org
» my Online CV
» Free

home  |  contact  |  terms of use  |  sitemap
Copyright © 2005-2025 - Scimetrica