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How efficiency shapes market impact. (2013). Farmer, J. ; Waelbroeck, Henri ; Lillo, Fabrizio ; Gerig, Austin.
In: Quantitative Finance.
RePEc:taf:quantf:v:13:y:2013:i:11:p:1743-1758.

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  2. Why is the estimation of metaorder impact with public market data so challenging?. (2025). Lillo, Fabrizio ; Rodikov, German ; Campigli, Francesco ; Bormetti, Giacomo ; Naviglio, Manuel.
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  3. Parameterised response zero intelligence traders. (2024). Cliff, Dave.
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  4. Transient Impact from the Nash Equilibrium of a Permanent Market Impact Game. (2024). Cordoni, Francesco ; Lillo, Fabrizio.
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  5. A Bayesian theory of market impact. (2024). Marsili, Matteo ; Saddier, Louis.
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  6. Many learning agents interacting with an agent-based market model. (2024). Gebbie, Tim ; Dicks, Matthew ; Paskaramoothy, Andrew.
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  7. The Effects of Volatility on Liquidity in the Treasury Market. (2023). Meldrum, Andrew ; Sokolinskiy, Oleg.
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  8. Power laws in market microstructure. (2023). Etin, Umut ; Waelbroeck, Henri.
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  9. Transient impact from the Nash equilibrium of a permanent market impact game. (2023). Cordoni, Francesco ; Lillo, Fabrizio.
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  10. Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio.
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  11. A simple microstructural explanation of the concavity of price impact. (2022). Nadtochiy, Sergey.
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  12. Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio.
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  14. Market Impact: A Systematic Study of the High Frequency Options Market. (2022). Rabeyrin, Jean-Jacques ; Ayed, Hadj ; Fr'ed'eric Abergel, ; Said, Emilio ; Thillou, Damien ; Hadj, Ahmed Bel ; Bel, Ahmed.
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  15. Market Impact: A Systematic Study of Limit Orders. (2022). Markets, Global ; Abergel, Frederic ; Fr'ed'eric Abergel, ; Said, Emilio ; Paribas, Bnp ; Husson, Alexandre ; Hadj, Ahmed Bel ; Bel, Ahmed ; Ayed, Hadj.
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  18. Market Impact: A Systematic Study of the High Frequency Options Market. (2020). Hadj, Ahmed Bel ; Rabeyrin, Jean-Jacques ; Abergel, Frederic ; Said, Emilio ; Thillou, Damien.
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  21. How Option Hedging Shapes Market Impact. (2019). Abergel, Frederic ; Said, Emilio.
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  22. How Option Hedging Shapes Market Impact. (2019). Fr'ed'eric Abergel, ; Said, Emilio.
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  23. Market Impact: A systematic study of limit orders. (2018). Abergel, Frederic ; Said, Emilio ; Husson, Alexandre ; Hadj, Ahmed Bel.
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  24. Market Impact: A Systematic Study of Limit Orders. (2018). Hadj, Ahmed Bel ; Abergel, Frederic ; Said, Emilio ; Husson, Alexandre.
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  27. Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Ludkovski, Michael ; Bechler, Kyle .
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  28. LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION. (2016). Still, Susanne ; Marsili, Matteo ; Kondor, Imre ; Caccioli, Fabio.
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  29. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien.
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  30. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien.
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  31. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. (2016). Guéant, Olivier ; Gueant, Olivier.
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  32. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre.
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  33. Market impact as anticipation of the order flow imbalance. (2015). Jaisson, Thibault.
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  36. Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights. (2015). Donier, Jonathan ; Bouchaud, Jean-Philippe.
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  38. Why is equity order flow so persistent?. (2015). Farmer, J. ; Palit, Imon ; Lillo, Fabrizio ; Toth, Bence.
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  40. A Million Metaorder Analysis of Market Impact on the Bitcoin. (2015). Bonart, Julius ; Donier, Jonathan.
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  42. Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate. (2014). Farmer, J. ; Treccani, Michele ; Lillo, Fabrizio ; Zarinelli, Elia .
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  43. Market impacts and the life cycle of investors orders. (2014). LEHALLE, Charles-Albert ; Lasnier, Matthieu ; Bacry, Emmanuel ; Iuga, Adrian .
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  44. Optimal Execution with Dynamic Order Flow Imbalance. (2014). Ludkovski, Mike ; Bechler, Kyle .
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  45. $L_p$ regularized portfolio optimization. (2014). Kondor, Imre ; Still, Susanne ; Marsili, Matteo ; Caccioli, Fabio.
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  47. The adaptive nature of liquidity taking in limit order books. (2014). Bormetti, Giacomo ; Lillo, Fabrizio ; Taranto, Damian Eduardo.
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  48. The non-linear market impact of large trades: evidence from buy-side order flow. (2013). Bershova, Nataliya ; Rakhlin, Dmitry.
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    RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

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  26. Economic Modeling for Optimal Trading of Financial Asset in Volatile Market. (2013). Sun, Edward ; Kruse, Timm.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00627.

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  27. A Monte Carlo method for optimal portfolio executions. (2013). Achtsis, Nico ; Nuyens, Dirk.
    In: Papers.
    RePEc:arx:papers:1312.5919.

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  28. Market Impact Paradoxes. (2013). Skachkov, Igor .
    In: Papers.
    RePEc:arx:papers:1312.3349.

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  29. Optimal Execution Trajectories. Linear Market Impact with Exponential Decay. (2013). Skachkov, Igor .
    In: Papers.
    RePEc:arx:papers:1309.6725.

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  30. Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall. (2013). LEHALLE, Charles-Albert ; Labadie, Mauricio.
    In: Papers.
    RePEc:arx:papers:1205.3482.

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  31. Market Liquidity -- Theory and Empirical Evidence. (2012). Vayanos, Dimitri ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18251.

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  32. Optimal starting times, stopping times and risk measures for algorithmic trading. (2012). LEHALLE, Charles-Albert ; Labadie, Mauricio.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00705056.

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  33. Optimal trade execution: A mean quadratic variation approach. (2012). Tse, S. T. ; FORSYTH, P. A. ; Kennedy, J. S. ; Windcliff, H..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:12:p:1971-1991.

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  34. High Frequency Market Making. (2012). Carmona, Rene ; Webster, Kevin.
    In: Papers.
    RePEc:arx:papers:1210.5781.

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  35. Optimal Trading with Linear Costs. (2012). Potters, Marc ; de Lataillade, Joachim ; Bouchaud, Jean-Philippe ; Deremble, Cyril.
    In: Papers.
    RePEc:arx:papers:1203.5957.

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  36. Portfolio liquidation in dark pools in continuous time. (2012). Schoneborn, Torsten ; Kratz, Peter.
    In: Papers.
    RePEc:arx:papers:1201.6130.

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  37. Risk Premia and Optimal Liquidation of Credit Derivatives. (2012). Leung, Tim ; Liu, Peng.
    In: Papers.
    RePEc:arx:papers:1110.0220.

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  38. Low order-value approach for solving VaR-constrained optimization problems. (2011). Kreji, N. ; Bueno, L. ; Martinez, J. ; Birgin, E..
    In: Journal of Global Optimization.
    RePEc:spr:jglopt:v:51:y:2011:i:4:p:715-742.

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  39. Optimal trading execution with nonlinear market impact: an alternative solution method. (2011). Zagaglia, Paolo ; Ritelli, Daniele ; Marzo, Massimiliano ; Daniele, Ritelli ; Massmiliano, Marzo ; Paolo, Zagaglia .
    In: MPRA Paper.
    RePEc:pra:mprapa:35393.

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  40. Dynamic trade execution: a grammatical evolution approach. (2011). Cui, Wei ; O'Neill, Michael ; Brabazon, Anthony.
    In: International Journal of Financial Markets and Derivatives.
    RePEc:ids:ijfmkd:v:2:y:2011:i:1/2:p:4-31.

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  41. Optimal Portfolio Liquidation with Limit Orders. (2011). Gueant, Olivier ; Tapia, Joaquin Fernandez ; Lehalle, Charles-Albert.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/7391.

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  42. Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method. (2011). Zagaglia, Paolo ; Ritelli, Daniele ; Marzo, Massimiliano.
    In: Working Papers.
    RePEc:bol:bodewp:wp797.

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  43. A limit order book model for latency arbitrage. (2011). Cohen, Samuel N. ; Szpruch, Lukasz.
    In: Papers.
    RePEc:arx:papers:1110.4811.

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  44. Optimal trade execution and price manipulation in order books with time-varying liquidity. (2011). Schöneborn, Torsten ; Schoeneborn, Torsten ; Urusov, Mikhail ; Fruth, Antje.
    In: Papers.
    RePEc:arx:papers:1109.2631.

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  45. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
    In: Post-Print.
    RePEc:hal:journl:hal-00397652.

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  46. Portfolio choice under transitory price impact. (2010). Isaenko, Sergei.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2375-2389.

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  47. Optimal Execution in an Evolutionary Setting. (2009). Ishii, Ryosuke.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:670.

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  48. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2008). Schied, Alexander ; Schöneborn, Torsten ; Schoeneborn, Torsten .
    In: MPRA Paper.
    RePEc:pra:mprapa:7105.

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  49. Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision. (2007). Schied, Alexander ; Schöneborn, Torsten.
    In: MPRA Paper.
    RePEc:pra:mprapa:5548.

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  50. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11444.

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