Journal article

What really causes large price changes?

Abstract:: We study the cause of large fluctuations in prices on the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price fluctuations caused by individual market orders are essentially independent of the volume of orders. Instead, large price fluctuations are driven by liquidity fluctuations, variations in the market's ability to absorb new orders. Even for the most liquid ...
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APA Style

Farmer, J., Gillemot, L., Lillo, F., Mike, S., & Sen, A. (2004). What really causes large price changes? Quantitative Finance, 4(4), 383–397.

MLA Style

Farmer, J., et al. “What Really Causes Large Price Changes?” Quantitative Finance, vol. 4, no. 4, 2004, pp. 383–97.

Chicago Style

Farmer, J, L Gillemot, F Lillo, S Mike, and A Sen. 2004. “What Really Causes Large Price Changes?” Quantitative Finance 4 (4): 383–97.
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+ Farmer, J More by this author

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University of Oxford

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MPLS

Department:

Mathematical Institute

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+ Gillemot, L More by this author

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+ Lillo, F More by this author

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+ Mike, S More by this author

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+ Sen, A More by this author

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Bibliographic Details

Journal:: Quantitative Finance More from this journal
Volume:: 4
Issue:: 4
Pages:: 383-397
Publication date:: 2004-01-01

Item Description

Pubs id:: pubs:387714
UUID:: uuid:ec1d6f9f-3484-4917-b5bf-80ae5089597e
Local pid:: pubs:387714
Source identifiers:: 387714
Deposit date:: 2013-11-16

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Copyright date:: 2004

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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