Price Manipulation and Quasi-Arbitrage

By Gur Huberman, Werner Stanzl. 2004

322 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f0ce87ed767b8897eaeda499366c7ba294fc850b

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Citations in the corpus

No‐arbitrage implies power‐law market impact and rough volatility (2018, background): “ a well-dened stochastic process, as will be the case in the next sections. The permanent market impact (PMI for short) of this metaorder is given by the quantity PMI= lim t!+1 MI(t): It is shown in [14, 18] that the absence of price manipulation on a market1 implies that the permanent market impact”
OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY (2011, background): “lude both forms of price manipulation in Section 3. An alternative assumption that is often made in limit order book models is to disregard the bid-ask spread and to assume At = Bt, see, for example, Huberman and Stanzl (2004), Gatheral (2010), Alfonsi, Schied, and Slynko (2011) and Gatheral, Schied”
Optimal execution with non-linear transient market impact (2014, methodology): “For example, based on a large sample of NYSE stocks, Lillo et al. (2003) observed a concave function of the transaction volume.”
Direct Estimation of Equity Market Impact (2005, background): “Therefore these results confirm empirically the theoretical arguments of Huberman and Stanzl (2004) for permanent impact that is linear in block size, and the concavity of temporary impact as has been widely described in the literature for both theoretical and empirical reasons.”
Correlated Trading and Returns (2008, unknown): “…case, trade direction and contemporaneous as well as future returns should be positively correlated as the information is incorporated into prices—the correlation should increase with the extent of informed trading (at least if price impact functions are linear (see Huberman and Stanzl (2004))).”
Episodic Liquidity Crises: Cooperative and Predatory Trading (2007, background): “Huberman and Stanzl (2004b) find a similar relationship in discrete time.11,12 The pricing equation has three parts.”
Optimal trade execution: A mean quadratic variation approach (2012, methodology): “(A.8) B Form of Permanent Price Impact (3.1)534 Since temporary impact always leads to trading losses, there is no restriction on the functional form of535 the temporary impact (Huberman and Stanzl, 2004; Almgren et al., 2004).”
A Dynamic Model of the Limit Order Book (2009, unknown): “39 Huberman and Stanzl (2004) argue that a nonlinear price impact function leads to arbitrage.”
Optimal Basket Liquidation for CARA Investors is Deterministic (2010, unknown): “As was observed by Huberman and Stanzl ( 2004 ), the linearity of the permanent impact rules out the existence of quasi-arbitrage opportunities.”
A Hamilton-Jacobi-Bellman approach to optimal trade execution (2011, background): “This form of permanent 109 price impact eliminates round-trip arbitrage opportunities [22, 3].”
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2012, unknown): “We assume that S0 is a right-continuous martingale1 defined on a given filtered probability 1 The condition that S0 is a martingale is a standard assumption in the market impact literature; see Almgren and Chriss (1999, 2000), Gatheral (2010), Huberman and Stanzl (2004), or Obizhaeva and Wang”
No-dynamic-arbitrage and market impact (2010, background): “In unrelated work, starting from a principle of no-quasi-arbitrage, Huberman and Stanzl (2004) show that permanent market impact must be linear in the trade quantity and symmetric between buys and sells.”
The Price Impact of Order Book Events (2010, unknown): “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”