How does the market react to your order flow?

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants a...

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Bibliographic Details
Main Authors: Toth, B, Eisler, Z, Lillo, F, Kockelkoren, J, Bouchaud, J, Farmer, J
Format: Journal article
Published: 2011