No-dynamic-arbitrage and market impact

By Jim Gatheral. 2010

397 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1b9f2604e3da1e1e3a128a5b4e6fe66a9a7d987c

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Citations in the corpus

Stability analysis of financial contagion due to overlapping portfolios (2012, neutral): “Under extreme conditions, like those of a fire sale, market impact is expected to become less concave and even linear or super-linear [22], which motivates our choice of functional form here.”
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2012, positive): “A continuous-time market impact model with general decay and nonlinear price impact was proposed by Gatheral (2010).”
Optimal Basket Liquidation for CARA Investors is Deterministic (2010, neutral): “Gatheral (2010) proposes a one-dimensional model in which price impact is neither entirely permanent nor entirely temporary but may decay over time: FðXÞ ¼ ZT 0 _Xt Z t 0 hð _XsÞGðt sÞds dt: Here, again, h : R !”
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis (2013, background): “Academics studying the price formation process in order books usually name “temporary market impact” the way prices temporally deviate from their stable value due to high consumption of liquidity (i.e. of pending orders) in an order book (see [Almgren et al., 2005], [Gatheral, 2010]).”
Market Impacts and the Life Cycle of Investors Orders (2014, methodology): “T R ] 6 D ec 2 01 4 [Gatheral, 2010], [Moro et al., 2009], [Toth et al., 2011a], [Bouchaud et al., 2009], [Farmer et al., 2006], [Brokmann et al., 2014] and [Zarinelli et al., 2015].”
The Gateway to the Profession: Assessing Teacher Preparation Programs Based on Student Achievement. CEDR Working Paper No. 2011-2.0. (2013, background): “11 Gatheral (2010), for instance, assesses the relationship between the shape of the market impact function describing the average response of the market price to traded quantity and the function that describes the decay of market impact ultimately showing that the widely-assumed exponential decay o”
Incorporating order-flow into optimal execution (2016, neutral): “For a general discussion on the shape and assumptions of permanent price impact see [1,2,17,19].”
The Price Impact of Order Book Events (2010, neutral): “Huberman and Stanzl [25] show that there are arbitrage opportunities if the effect of trades on prices is permanent and the impact is non-linear; Gatheral [19] extends this analysis by showing that if the price impact function is non-linear, impact needs to decay in a particular way to exclude arbit”
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate (2014, neutral): “We consider here a small variation of the Gatheral model where s(t) := log S(t)/σD evolves in volume time v according to s(v) = s(0) + ∫ v 0 f(q(s))G(v − s)ds+ ∫ v 0 dWs. (11) In order to deal with nondimensional quantities, we rescale the instantaneous trading rate q(s) by the daily traded volume V”
Option Hedging with Smooth Market Impact (2016, background): “It is well known (Gatheral [2010], Huberman and Stanzl [2005]) that linear permanent impact is the only functional form that does not permit arbitrage using round-trip trading strategies.”
TRADING WITH SMALL PRICE IMPACT (2014, neutral): “, [6, 2, 30, 24, 44, 1, 48, 22] and the references therein.”
OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2015, methodology): “Using an arithmetic as opposed to a geometric Brownian motion in the present setup is possible since we are considering an intraday trading horizon, so that P(t) is negative with an extremely small probability and there are negligible differences between the two models, see Gatheral and Schied (2011”
Hawkes model for price and trades high-frequency dynamics (2013, background): “[8, 13, 19] can be reconsidered within the more realistic framework of point processes where correlations and impact are interpreted as cross and self excitations mechanisms acting on the conditional intensities of Poisson processes.”
OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY (2011, methodology): “We now define the counterparts in our model of the notions of price manipulation in the sense of Huberman and Stanzl (2004)(3) and of transaction-triggered price manipulation in the sense of Alfonsi, Schied, and Slynko (2011) and Gatheral, Schied, and Slynko (2011b). Note that in defining these noti”
Optimal execution with non-linear transient market impact (2014, methodology): “In discrete time, this is the propagator model originally developed by Bouchaud et al. (2009), Bouchaud et al. (2004); the above continuous time formulation (2.1) is due to Gatheral (2010).”
No‐arbitrage implies power‐law market impact and rough volatility (2018, background): “It is shown in [14, 18] that the absence of price manipulation on a market(1) implies that the permanent market impact is proportional to the total volume of the metaorder.”