How does the market react to your order flow?

Author： Tóth B.   Eisler Z.   Lillo F.   Kockelkoren J.   Bouchaud J.-P.   Farmer J.D.  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.12, Iss.7, 2012-07, pp. : 1015-1024

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