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Tag: market-impact

pythonpapermicrostructuremarket-impactafter-work

Introducing How Markets Slowly Digest Changes in Supply and Demand for after-work quants

Bouchaud, Farmer & Lillo (2008) explain why markets digest supply and demand slowly: long-memory order flow and propagator-style impact. Plain-language intro. Not investment advice.

pythonpapertransaction-costsmarket-impactafter-work

Introducing Anomalous Price Impact and Square-Root Liquidity for after-work quants

Tóth, Bouchaud and coauthors (2011) explain the empirical square-root market-impact law via latent liquidity that vanishes near the price. Plain-language intro. Not investment advice.