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Authors: Alex Bladon, Esteban Moro y Tobias Galla
Journal: Physical Review E 85, 036103 (2012) LINK | arXiv
Abstract: We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members.
Authors: Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna
Journal: Phys. Rev. E 80, 066102 (2009) LINK | arXiv
Abstract: 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 about market member codes using data from the Spanish Stock Market and the London Stock Exchange.
Authors: Esteban Moro and Henri Schurz
Journal: SIAM Journal of Scientific Computing, Volume 29 Issue 4, Pages 1525-1549 (2007). LINK | arXiv
Abstract: Construction of splitting-step methods and properties of related non-negativity andboundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a newly designed splitting-step algorithm and simulation studies for numerous numerical examples ranging from stochastic dynamics occurring in asset pricing theory in mathematical finance (SDEs of CIR and CEV models) to measure-valued diffusion and superBrownian motion (SPDEs) as met in biology and physics.