Browsing 15 Commerce, Management, Tourism and Services by Author "Farmer J"

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  • Browsing 15 Commerce, Management, Tourism and Services by Author

Browsing 15 Commerce, Management, Tourism and Services by Author "Farmer J"

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  • Market impact and trading profile of large trading orders in stock markets 
    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 ...