Jonathan Donier added missing citations to bibliography  almost 9 years ago

Commit id: 70c67f52d46dc879c0179dedbaa572e4b3c35a86

deletions | additions      

       

title = {{Elements of Pure Economics}},  journal = {Econometrica},  }  @book{walras2013elements,  title = {{Elements of Pure Economics, or the Theory of Social Wealth}},  author = {Walras, Leon},  year = {1954},  note = {Translated by William Jaff \'{e} from the original (1874). Published for American Economic Association and the Royal Economic Society.},  }  @book{mas1995microeconomic,  title = {{Microeconomic theory}},  author = {Mas-Colell, Andreu and Whinston, Michael Dennis and Green, Jerry R and others},  volume = {1},  year = {1995},  publisher = {Oxford university press New York},  }  @book{hicks1946value,  title = {{Value and capital}},  author = {Hicks, John R},  volume = {2},  year = {1946},  publisher = {Clarendon press Oxford},  }  @article{shleifer2015expectations,  title = {{Expectations and Investment}},  author = {Gennaioli, Nicola and Ma, Yueran and Shleifer, Andrei},  year = {2015},  }  @book{samuelson1983foundations,  title = {{Foundations of Economic Analysis, enlarged edition}},  author = {Samuelson, Paul A},  year = {1983},  publisher = {Harvard University Press Harvard},  }  @book{fisher1989disequilibrium,  title = {{Disequilibrium foundations of equilibrium economics}},  author = {Fisher, Franklin M},  number = {6},  year = {1989},  publisher = {Cambridge University Press},  }  @article{gjerstad1998price,  title = {{Price formation in double auctions}},  author = {Gjerstad, Steven and Dickhaut, John},  journal = {Games and economic behavior},  volume = {22},  number = {1},  pages = {1--29},  year = {1998},  publisher = {Elsevier},  }  @article{biais1993price,  title = {{Price formation and equilibrium liquidity in fragmented and centralized markets}},  author = {Biais, Bruno},  journal = {The Journal of Finance},  volume = {48},  number = {1},  pages = {157--185},  year = {1993},  publisher = {Wiley Online Library},  }  @techreport{rosu2006multi,  title = {{Multi-Stage Game Theory in Continuous Time}},  author = {Ro\c{s}u, Ioanid},  year = {2006},  institution = {Technical report, Working Paper, University of Chicago},  }  @article{bouchaud2008markets,  title = {{How markets slowly digest changes in supply and demand}},  author = {Bouchaud, Jean-Philippe and Farmer, J Doyne and Lillo, Fabrizio},  journal = {Fabrizio, How Markets Slowly Digest Changes in Supply and Demand (September 11, 2008)},  year = {2008},  }  @article{cason1996price,  title = {{Price formation in double auction markets}},  author = {Cason, Timothy N and Friedman, Daniel},  journal = {Journal of Economic Dynamics and Control},  volume = {20},  number = {8},  pages = {1307--1337},  year = {1996},  publisher = {Elsevier},  }  @article{easley1993theories,  title = {{Theories of price formation and exchange in double oral auctions}},  author = {Easley, David and Ledyard, John},  journal = {The double auction market: Institutions, theories, and evidence},  pages = {63--97},  year = {1993},  publisher = {Addison-Wesley},  }  @book{mankiw2014principles,  title = {{Principles of macroeconomics}},  author = {Mankiw, N.Gregory},  year = {2014},  publisher = {Cengage Learning},  }  @article{de1990security,  title = {{Do security analysts overreact?}},  author = {De Bondt, Werner FM and Thaler, Richard H},  journal = {The American Economic Review},  pages = {52--57},  year = {1990},  publisher = {JSTOR},  }  @book{foucault2013market,  title = {{Market liquidity: theory, evidence, and policy}},  author = {Foucault, Thierry and Pagano, Marco and R{\"o}ell, Ailsa},  year = {2013},  publisher = {Oxford University Press},  }  @article{black1986noise,  title = {{Noise}},  author = {Black, Fischer},  journal = {The journal of finance},  volume = {41},  number = {3},  pages = {529--543},  year = {1986},  publisher = {Wiley Online Library},  }  @incollection{lehalle2011high,  title = {{High-frequency simulations of an order book: a two-scale approach}},  author = {Lehalle, Charles-Albert and Gu{\'e}ant, Olivier and Razafinimanana, Julien},  booktitle = {Econophysics of Order-driven Markets},  pages = {73--92},  year = {2011},  publisher = {Springer},  }  @article{biais1995empirical,  title = {{An empirical analysis of the limit order book and the order flow in the Paris Bourse}},  author = {Biais, Bruno and Hillion, Pierre and Spatt, Chester},  journal = {the Journal of Finance},  volume = {50},  number = {5},  pages = {1655--1689},  year = {1995},  publisher = {Wiley Online Library},  }  @article{gareche2013fokker,  title = {{Fokker-planck description for the queue dynamics of large tick stocks}},  author = {Gareche, A and Disdier, G and Kockelkoren, J and Bouchaud, J-P},  journal = {Physical Review E},  volume = {88},  number = {3},  pages = {032809},  year = {2013},  publisher = {APS},  }  @article{smith2003statistical,  title = {{Statistical theory of the continuous double auction}},  author = {Smith, Eric and Farmer, J Doyne and Gillemot, L\'aszl\'o and Krishnamurthy, Supriya},  journal = {Quantitative finance},  volume = {3},  number = {6},  pages = {481--514},  year = {2003},  publisher = {Taylor \& Francis},  }  @article{bouchaud2002statistical,  title = {{Statistical properties of stock order books: empirical results and models}},  author = {Bouchaud, Jean-Philippe and M{\'e}zard, Marc and Potters, Marc and others},  journal = {Quantitative finance},  volume = {2},  number = {4},  pages = {251--256},  year = {2002},  publisher = {Taylor \& Francis},  }  @article{foucault1999order,  title = {{Order flow composition and trading costs in a dynamic limit order market}},  author = {Foucault, Thierry},  journal = {Journal of Financial markets},  volume = {2},  number = {2},  pages = {99--134},  year = {1999},  publisher = {Elsevier},  }  @article{rosu2014liquidity,  title = {{Liquidity and information in order driven markets}},  author = {Ro\c{s}u, Ioanid},  journal = {Available at SSRN 1286193},  year = {2014},  }  @article{rocsu2009dynamic,  title = {{A dynamic model of the limit order book}},  author = {Ro{\c{s}}u, Ioanid},  journal = {Review of Financial Studies},  pages = {hhp011},  year = {2009},  publisher = {Soc Financial Studies},  }  @article{bouchaud2006random,  title = {{Random walks, liquidity molasses and critical response in financial markets}},  author = {Bouchaud, Jean-Philippe and Kockelkoren, Julien and Potters, Marc},  journal = {Quantitative finance},  volume = {6},  number = {02},  pages = {115--123},  year = {2006},  publisher = {Taylor \& Francis},  }  @article{toth2012does,  title = {{How does the market react to your order flow?}},  author = {T\'oth, Bence and Eisler, Zoltan and Lillo, Fabrizio and Kockelkoren, Julien and Bouchaud, J-P and Farmer, J Doyne},  journal = {Quantitative Finance},  volume = {12},  number = {7},  pages = {1015--1024},  year = {2012},  publisher = {Taylor \& Francis},  }  @article{eisler2012price,  title = {{The price impact of order book events: market orders, limit orders and cancellations}},  author = {Eisler, Zolt{\'a}n and Bouchaud, Jean-Philippe and Kockelkoren, Julien},  journal = {Quantitative Finance},  volume = {12},  number = {9},  pages = {1395--1419},  year = {2012},  publisher = {Taylor \& Francis},  }  @article{dean1996langevin,  title = {{Langevin equation for the density of a system of interacting Langevin processes}},  author = {Dean, David S},  journal = {Journal of Physics A: Mathematical and General},  volume = {29},  number = {24},  pages = {L613},  year = {1996},  publisher = {IOP Publishing},  }  @article{bouchaud2004fluctuations,  title = {{Fluctuations and response in financial markets: the subtle nature of ‘random’price changes}},  author = {Bouchaud, Jean-Philippe and Gefen, Yuval and Potters, Marc and Wyart, Matthieu},  journal = {Quantitative Finance},  volume = {4},  number = {2},  pages = {176--190},  year = {2004},  publisher = {Taylor \& Francis},  }  @article{robert2011new,  title = {{A new approach for the dynamics of ultra-high-frequency data: The model with uncertainty zones}},  author = {Robert, Christian Y and Rosenbaum, Mathieu},  journal = {Journal of Financial Econometrics},  volume = {9},  number = {2},  pages = {344--366},  year = {2011},  publisher = {Oxford Univ Press},  }  @article{laruelle2011optimal,  title = {{Optimal split of orders across liquidity pools: a stochastic algorithm approach}},  author = {Laruelle, Sophie and Lehalle, Charles-Albert and Pages, Gilles},  journal = {SIAM Journal on Financial Mathematics},  volume = {2},  number = {1},  pages = {1042--1076},  year = {2011},  publisher = {SIAM},  }  @article{cartea2014optimal,  title = {{Optimal execution with limit and market orders}},  author = {Cartea, {\'A}lvaro and Jaimungal, Sebastian},  journal = {Forthcoming: Quantitative Finance},  year = {2014},  }  @article{bouchaud1998langevin,  title = {{A Langevin approach to stock market fluctuations and crashes}},  author = {Bouchaud, J-P and Cont, Rama},  journal = {The European Physical Journal B-Condensed Matter and Complex Systems},  volume = {6},  number = {4},  pages = {543--550},  year = {1998},  publisher = {Springer},  }  @article{cont2013price,  title = {{Price dynamics in a Markovian limit order market}},  author = {Cont, Rama and De Larrard, Adrien},  journal = {SIAM Journal on Financial Mathematics},  volume = {4},  number = {1},  pages = {1--25},  year = {2013},  publisher = {SIAM},  }  @article{cont2010stochastic,  title = {{A stochastic model for order book dynamics}},  author = {Cont, Rama and Stoikov, Sasha and Talreja, Rishi},  journal = {Operations research},  volume = {58},  number = {3},  pages = {549--563},  year = {2010},  publisher = {INFORMS},  }  @article{cont2013optimal,  title = {{Optimal order placement in limit order markets}},  author = {Cont, Rama and Kukanov, Arseniy},  journal = {Available at SSRN 2155218},  year = {2013},  }  @techreport{maglaras2011multiclass,  title = {{A multiclass model of limit order book dynamics and its application to optimal trade execution}},  author = {Maglaras, Costis and Moallemi, Ciamac},  year = {2011},  institution = {Working paper, Columbia Business School, New York},  }  @article{gao2014hydrodynamic,  title = {{Hydrodynamic limit of order book dynamics}},  author = {Gao, Xuefeng and Dai, JG and Dieker, Ton and Deng, Shijie},  journal = {Available at SSRN 2530306},  year = {2014},  }  @article{lachapelle2013efficiency,  title = {{Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis}},  author = {Lachapelle, Aim{\'e} and Lasry, Jean-Michel and Lehalle, Charles-Albert and Lions, Pierre-Louis},  journal = {arXiv:1305.6323},  year = {2013},  }  @article{huang2014simulating,  title = {{Simulating and analyzing order book data: The queue-reactive model}},  author = {Huang, Weibing and Lehalle, Charles-Albert and Rosenbaum, Mathieu},  journal = {Journal of the American Statistical Association},  number = {just-accepted},  pages = {00--00},  year = {2014},  publisher = {Taylor \& Francis},  }  @article{farmer2005predictive,  title = {{The predictive power of zero intelligence in financial markets}},  author = {Farmer, J Doyne and Patelli, Paolo and Zovko, Ilija I},  journal = {Proceedings of the National Academy of Sciences of the United States of America},  volume = {102},  number = {6},  pages = {2254--2259},  year = {2005},  publisher = {National Acad Sciences},  }  @article{lasry2007mean,  title = {{Mean field games}},  author = {Lasry, Jean-Michel and Lions, Pierre-Louis},  journal = {Japanese Journal of Mathematics},  volume = {2},  number = {1},  pages = {229--260},  year = {2007},  publisher = {Springer},  }  @techreport{harris1990liquidity,  title = {{Liquidity, trading rules and electronic trading systems}},  author = {Harris, Lawrence and others},  year = {1990},  }  @book{hasbrouck2006empirical,  title = {{Empirical market microstructure: The institutions, economics, and econometrics of securities trading}},  author = {Hasbrouck, Joel},  year = {2006},  publisher = {Oxford University Press},  }  @book{kockelkoren2010order,  title = {{Order types}},  author = {Kockelkoren, Julianus},  year = {2010},  publisher = {Encyclopedia of Quantitative Finance},  }  @article{handa2003quote,  title = {{Quote setting and price formation in an order driven market}},  author = {Handa, Puneet and Schwartz, Robert and Tiwari, Ashish},  journal = {Journal of financial markets},  volume = {6},  number = {4},  pages = {461--489},  year = {2003},  publisher = {Elsevier},  }  @article{bongiovanni2006let,  title = {{Let's Play Hide-and-Seek: The Location and Size of Undisclosed Limit Order Volume}},  author = {Bongiovanni, Steve and Borkovec, Milan and Sinclair, Robert D},  journal = {The Journal of Trading},  volume = {1},  number = {3},  pages = {34--46},  year = {2006},  publisher = {Institutional Investor Journals},  }  @article{handa1996limit,  title = {{Limit order trading}},  author = {Handa, Puneet and Schwartz, Robert A},  journal = {The Journal of Finance},  volume = {51},  number = {5},  pages = {1835--1861},  year = {1996},  publisher = {Wiley Online Library},  }  @article{madhavan2000market,  title = {{Market microstructure: A survey}},  author = {Madhavan, Ananth},  journal = {Journal of financial markets},  volume = {3},  number = {3},  pages = {205--258},  year = {2000},  publisher = {Elsevier},  }  @article{glosten1985bid,  title = {{Bid, ask and transaction prices in a specialist market with heterogeneously informed traders}},  author = {Glosten, Lawrence R and Milgrom, Paul R},  journal = {Journal of financial economics},  volume = {14},  number = {1},  pages = {71--100},  year = {1985},  publisher = {Elsevier},  }  @article{glosten1994electronic,  title = {{Is the electronic open limit order book inevitable?}},  author = {Glosten, Lawrence R},  journal = {The Journal of Finance},  volume = {49},  number = {4},  pages = {1127--1161},  year = {1994},  publisher = {Wiley Online Library},  }  @article{gould2013limit,  title = {{Limit order books}},  author = {Gould, Martin D and Porter, Mason A and Williams, Stacy and McDonald, Mark and Fenn, Daniel J and Howison, Sam D},  journal = {Quantitative Finance},  volume = {13},  number = {11},  pages = {1709--1742},  year = {2013},  publisher = {Taylor \& Francis},  }  @article{zarinelli2014beyond,  title = {{Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate}},  author = {Zarinelli, Elia and Treccani, Michele and Farmer, J Doyne and Lillo, Fabrizio},  journal = {arXiv:1412.2152},  year = {2014},  }  @article{bacry2014market,  title = {{Market impacts and the life cycle of investors orders}},  author = {Bacry, Emmanuel and Iuga, Adrian and Lasnier, Matthieu and Lehalle, Charles-Albert},  journal = {Available at SSRN 2532152},  year = {2014},  }  @article{bouchaud2010price,  title = {{Price impact}},  author = {Bouchaud, Jean-Philippe},  journal = {Encyclopedia of quantitative finance},  year = {2010},  publisher = {Wiley Online Library},  }  @article{almgren2001optimal,  title = {{Optimal execution of portfolio transactions}},  author = {Almgren, Robert and Chriss, Neil},  journal = {Journal of Risk},  volume = {3},  pages = {5--40},  year = {2001},  }  @inproceedings{kyle2012large,  title = {{Large bets and stock market crashes}},  author = {Kyle, Albert S and Obizhaeva, Anna A},  booktitle = {AFA 2013 San Diego Meetings Paper},  year = {2012},  }  @article{kyle1985continuous,  title = {{Continuous auctions and insider trading}},  author = {Kyle, Albert S},  journal = {Econometrica: Journal of the Econometric Society},  pages = {1315--1335},  year = {1985},  publisher = {JSTOR},  }  @techreport{caccioli2012impact,  title = {{Impact-adjusted valuation and the criticality of leverage}},  author = {Caccioli, Fabio and Bouchaud, Jean-Philippe and Farmer, J. Doyne},  year = {2012},  institution = {technical report},  }  @article{corradi2015liquidity,  title = {{Liquidity crises on different time scales}},  author = {Corradi, Francesco and Zaccaria, Andrea and Pietronero, Luciano},  journal = {arXiv:1504.02956},  year = {2015},  }  @article{amihud1986asset,  title = {{Asset pricing and the bid-ask spread}},  author = {Amihud, Yakov and Mendelson, Haim},  journal = {Journal of financial Economics},  volume = {17},  number = {2},  pages = {223--249},  year = {1986},  publisher = {Elsevier},  }  @article{Iacopo:2013,  author = {Mastromatteo, Iacopo and T\'oth, Bence and Bouchaud, Jean-Philippe},  title = {{Agent-based models for latent liquidity and concave price impact}},  year = {2014},  journal = {Phys. Rev. E},  volume = {89},  pages = {042805},  }  @article{Almgren:2005,  author = {Almgren, Robert and Thum, Chee and Hauptmann, Emmanuel and Li, Hong},  title = {{Direct estimation of equity market impact}},  year = {2005},  journal = {Risk},  volume = {18},  number = {7},  pages = {5762},  }  @article{Toth:2011,  author = {T\'oth, Bence and Lemp\'eri\`ere, Yves and Deremble, Cyril and De~Lataillade, Joachim and Kockelkoren, Julien and Bouchaud, Jean-Philippe},  title = {{Anomalous price impact and the critical nature of liquidity in financial markets}},  year = {2011},  journal = {Physical Review X},  volume = {1},  number = {2},  pages = {021006},  }  @booklet{Barra:1997,  author = {Torre, Nicolo and Ferrari, Mark},  title = {{Market impact model handbook, {BARRA} Inc., {B}erkeley}},  year = {1997},  howpublished = {http://www.barra.com/newsletter/nl166/miminl166.asp, but see also \citet{grinold2000active}},  }  @article{grinold2000active,  title = {{Active portfolio management}},  author = {Grinold, Richard C and Kahn, Ronald N},  year = {2000},  publisher = {McGraw Hill New York, NY},  }  @article{Moro:2009,  author = {Moro, Esteban and Vicente, Javier and Moyano, Luis G. and Gerig, Austin and Farmer, J. Doyne and Vaglica, Gabriella and Lillo, Fabrizio and Mantegna, Rosario N.},  title = {{Market impact and trading profile of hidden orders in stock markets}},  year = {2009},  journal = {Physical Review E},  volume = {80},  number = {6},  pages = {066102},  }  @article{Gomes:2013,  author = {Gomes, Carla and Waelbroeck, Henri},  title = {{Is Market Impact a Measure of the Information Value of Trades? {M}arket Response to Liquidity vs Informed Trades}},  year = {2014},  journal = {Quantitative Finance},  pages = {1-21},  doi = {10.1080/14697688.2014.963140},  }  @article{Bershova2013,  author = {Bershova, Nataliya and Rakhlin, Dmitry},  title = {{The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow}},  year = {2013},  journal = {Quantitative Finance},  volume = {13},  pages = {1759-1778},  }  @misc{Brokmann:2014,  author = {Brokmann, Xavier and S\'eri\'e, Emmanuel and Kockelkoren, Julien and Bouchaud, Jean-Philippe},  title = {{Slow decay of impact in Equity markets}},  howpublished = {arXiv:1407.3390, submitted to {M}arket {M}icrostructure and {L}iquidity},  year = {2014},  }  @misc{donier2014million,  author = {Donier, Jonathan and Bonart, Julius},  title = {{A million metaorder analysis of market impact on Bitcoin}},  year = {2014},  howpublished = {arXiv:1412.4503, submitted to {M}arket {M}icrostructure and {L}iquidity},  }  @misc{Iacopo:2014,  author = {Mastromatteo, Iacopo and T\'oth, Bence and Bouchaud, Jean-Philippe},  title = {{Anomalous impact in reaction-diffusion models}},  journal = {Physical Review Letter},  volume = {113},  pages = {268701},  year = {2014},  }  @article{gualdi2015tipping,  title = {{Tipping points in macroeconomic agent-based models}},  author = {Gualdi, Stanislao and Tarzia, Marco and Zamponi, Francesco and Bouchaud, Jean-Philippe},  journal = {Journal of Economic Dynamics and Control},  volume = {50},  pages = {29--61},  year = {2015},  publisher = {Elsevier},  }  @article{hommes2006heterogeneous,  title = {{Heterogeneous agent models in economics and finance}},  author = {Hommes, Cars H},  journal = {Handbook of computational economics},  volume = {2},  pages = {1109--1186},  year = {2006},  publisher = {Elsevier},  }  @article{donier2014fully,  title = {{A fully consistent, minimal model for non-linear market impact}},  author = {Donier, Jonathan and Bonart, Julius Friedrich and Mastromatteo, Iacopo and Bouchaud, Jean-Philippe},  journal = {Quantitative finance},  year = {2015},  volume = {15},  number = {7},  pages = {1109--1121},  publisher = {Taylor \& Francis},  }  @article{bak1997price,  title = {{Price variations in a stock market with many agents}},  author = {Bak, Per and Paczuski, Maya and Shubik, Martin},  journal = {Physica A: Statistical Mechanics and its Applications},  volume = {246},  number = {3},  pages = {430--453},  year = {1997},  publisher = {Elsevier},  }  @article{jones2002century,  title = {{A century of stock market liquidity and trading costs}},  author = {Jones, Charles M},  journal = {Available at SSRN 313681},  year = {2002},  }  @article{hendershott2011does,  title = {{Does algorithmic trading improve liquidity?}},  author = {Hendershott, Terrence and Jones, Charles M and Menkveld, Albert J},  journal = {The Journal of Finance},  volume = {66},  number = {1},  pages = {1--33},  year = {2011},  publisher = {Wiley Online Library},  }  @article{budish2013high,  title = {{The high-frequency trading arms race: Frequent batch auctions as a market design response}},  author = {Budish, Eric B and Cramton, Peter and Shim, John J},  journal = {Fama-Miller Working Paper},  pages = {14--03},  year = {2013},  }  @article{fricke2014liquidity,  title = {{Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets}},  author = {Fricke, Daniel and Gerig, Austin},  year = {2014},  publisher = {ZBW-Deutsche Zentralbibliothek f{\"u}r Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft},  }  @article{black1973pricing,  title = {{The pricing of options and corporate liabilities}},  author = {Black, Fischer and Scholes, Myron},  journal = {The journal of political economy},  pages = {637--654},  year = {1973},  publisher = {JSTOR},  }  @book{bachelier1900theorie,  title = {{Th{\'e}orie de la sp{\'e}culation}},  author = {Bachelier, Louis},  year = {1900},  publisher = {Gauthier-Villars},  }  @article{donier2015markets,  title = {{Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights}},  author = {Donier, Jonathan and Bouchaud, Jean-Philippe},  journal = {Available at SSRN 2583743},  year = {2015},  }  @article{atkinson1974wiener,  title = {{A Wiener-Hopf integral equation arising in some inference and queueing problems}},  author = {Atkinson, Colin},  journal = {Biometrika},  volume = {61},  number = {2},  pages = {277--283},  year = {1974},  publisher = {Biometrika Trust},  }  @article{boersma1974note,  title = {{Note on a Wiener-Hopf integral equation arising in some inference and queueing problems}},  author = {Boersma, Joop},  year = {1974},  publisher = {Technische Hogeschool Eindhoven},  }  @article{fama1970efficient,  title = {{Efficient capital markets: A review of theory and empirical work}},  author = {Fama, Eugene F},  journal = {The journal of Finance},  volume = {25},  number = {2},  pages = {383--417},  year = {1970},  publisher = {Wiley Online Library},  }  @misc{shiller1980stock,  title = {{Do stock prices move too much to be justified by subsequent changes in dividends?}},  author = {Shiller, Robert J},  year = {1980},  publisher = {National Bureau of Economic Research Cambridge, Mass., USA},  }  @book{keynes2006general,  title = {{General theory of employment, interest and money}},  author = {Keynes, John Maynard},  year = {2006},  publisher = {Atlantic Publishers \& Dist},  }