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...
| Hoofdauteurs: | , , , , , |
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| Formaat: | Journal article |
| Gepubliceerd in: |
2011
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