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Market Impact of Small Orders

https://doi.org/10.2139/ssrn.4004403
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1093/jjfinec/nbt003openalex-extracted
The Price Impact of Order Book Events
inferredcites →https://doi.org/10.1103/physreve.80.066102openalex-extracted
Market impact and trading profile of hidden orders in stock markets
inferredcites →https://doi.org/10.1103/physrevx.1.021006openalex-extracted
Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets
inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00531.xopenalex-extracted
Price Manipulation and Quasi-Arbitrage
inferredcites →https://doi.org/10.21314/jor.2001.041openalex-extracted
Optimal execution of portfolio transactions
inferredcites →https://doi.org/10.2307/1913210openalex-extracted
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.3905/jot.2006.609171openalex-extracted
Algorithmic Decision-Making Framework
inferredcites →https://doi.org/10.4236/jmf.2014.44023openalex-extracted
Execution and Block Trade Pricing with Optimal Constant Rate of Participation
inferredcites →https://doi.org/10.2139/ssrn.3589220openalex-snapshot
Empirical Study of Market Impact Conditional on Order-Flow Imbalance
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