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A Theory for Market Impact: How Order Flow Affects Stock Price
Theory Market Impact Order Flow Affects Stock Price
2010/12/17
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I ...
Stock price jumps: news and volume play a minor role
Stock price jumps news volume play minor role
2010/12/17
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wid...