Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

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Authors

B. Tóth · Capital Fund Management (France)

Y. Lempérière · Capital Fund Management (France)

C. Deremble · Capital Fund Management (France)

J. de Lataillade · Capital Fund Management (France)

J. Kockelkoren · Capital Fund Management (France)

J.-P. Bouchaud · Capital Fund Management (France)

Abstract

Why does the price change of a stock go as the square root of the amount traded, and why are the dynamics of financial markets turbulent? A group of physicists working in a French investment company offer an explanation.

Topics & Keywords

Complex Systems and Time Series Analysis Economic theories and models Financial Markets and Investment Strategies

Publication Details

Published in: Physical Review X

Volume 1, Issue 2

DOI: 10.1103/physrevx.1.021006

Field-Weighted Citation Impact: 44.76

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Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

Authors

Abstract

Topics & Keywords

Publication Details