Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database

Frédéric Bucci et al.

Market Microstructure and Liquidity2018https://doi.org/10.1142/s2382626619500060preprint
ABDC B
Weight
0.58

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10 citations

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https://doi.org/https://doi.org/10.1142/s2382626619500060

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@article{frédéric2018,
  title        = {{Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database}},
  author       = {Frédéric Bucci et al.},
  journal      = {Market Microstructure and Liquidity},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626619500060},
}

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Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database

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Evidence weight

0.58

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.59 × 0.4 = 0.24
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.