Browsing by Author "Vaglica, G"

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Browsing by Author "Vaglica, G"

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  • Moro, E; Vicente, J; Moyano, L; Gerig, Austin; Farmer, J; Vaglica, G; Lillo, Fabrizio; Mantegna, R (American Physical Society, 2009)
    We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information ...