Search Results for author: Felix Patzelt

Found 2 papers, 2 papers with code

Nonlinear price impact from linear models

1 code implementation • 8 Aug 2017 • Felix Patzelt, Jean-Philippe Bouchaud

The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike.

10

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Code

Universal scaling and nonlinearity of aggregate price impact in financial markets

1 code implementation • 13 Jun 2017 • Felix Patzelt, Jean-Philippe Bouchaud

Prices move only when there is sufficient balance in the local order flow.

6

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Code

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