{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,10,22]],"date-time":"2024-10-22T17:09:17Z","timestamp":1729616957531,"version":"3.28.0"},"reference-count":34,"publisher":"IEEE","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2014,3]]},"DOI":"10.1109\/cifer.2014.6924047","type":"proceedings-article","created":{"date-parts":[[2014,10,22]],"date-time":"2014-10-22T16:24:42Z","timestamp":1413995082000},"page":"1-8","source":"Crossref","is-referenced-by-count":0,"title":["An analysis of price impact functions of individual trades on the London Stock Exchange"],"prefix":"10.1109","author":[{"given":"Mateusz","family":"Wilinski","sequence":"first","affiliation":[]},{"given":"Wei","family":"Cui","sequence":"additional","affiliation":[]},{"given":"Anthony","family":"Brabazon","sequence":"additional","affiliation":[]}],"member":"263","reference":[{"key":"19","doi-asserted-by":"publisher","DOI":"10.1016\/B978-044451558-2.50007-6"},{"journal-title":"Institutional Design and Liquidity at Stock Exchanges Around the World","year":"2003","author":"jain","key":"17"},{"journal-title":"Limit Order Books","year":"2011","author":"gould","key":"18"},{"key":"33","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(86)90004-8"},{"key":"15","doi-asserted-by":"publisher","DOI":"10.1080\/14697680600987216"},{"key":"34","doi-asserted-by":"publisher","DOI":"10.1088\/0305-4470\/34\/33\/302"},{"key":"16","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2010.504733"},{"key":"13","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.0409157102"},{"key":"14","doi-asserted-by":"publisher","DOI":"10.1080\/14697680500151400"},{"key":"11","doi-asserted-by":"publisher","DOI":"10.1038\/421129a"},{"key":"12","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/4\/1\/C01"},{"key":"21","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00149-7"},{"key":"20","first-page":"1","article-title":"Market microstructure: The impact of fragmentation under the markets in financial instruments directive","volume":"2009","year":"2009","journal-title":"CFA Institute Publications"},{"key":"22","doi-asserted-by":"publisher","DOI":"10.2307\/2329330"},{"key":"23","doi-asserted-by":"publisher","DOI":"10.3905\/jot.2006.644087"},{"key":"24","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.02.001"},{"key":"25","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2006.12.003"},{"key":"26","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1972.tb00985.x"},{"journal-title":"Dynamics of Liquidity in An Electronic Limit Order Book Market","year":"2003","author":"coppejans","key":"27"},{"key":"28","doi-asserted-by":"publisher","DOI":"10.1086\/324391"},{"key":"29","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(87)90004-3"},{"key":"3","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01624.x"},{"key":"2","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v27.n4.28"},{"key":"10","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2012.09.001"},{"key":"1","doi-asserted-by":"publisher","DOI":"10.1016\/B978-012374258-2.50006-3"},{"key":"30","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(90)90013-P"},{"key":"7","doi-asserted-by":"crossref","first-page":"5","DOI":"10.21314\/JOR.2001.041","article-title":"Optimal execution of portfolio transactions","volume":"3","author":"almgren","year":"2000","journal-title":"Journal of Risk"},{"key":"6","doi-asserted-by":"publisher","DOI":"10.1016\/S1386-4181(97)00012-8"},{"key":"32","doi-asserted-by":"publisher","DOI":"10.1080\/14697680600668048"},{"journal-title":"The Effect of Algorithmic Trading on Liquidity in the Options Market","year":"2012","author":"mishra","key":"5"},{"key":"31","doi-asserted-by":"publisher","DOI":"10.1080\/14697680400000022"},{"key":"4","article-title":"Rise of the machines: Algorithmic trading in the foreign exchange market","author":"chaboud","year":"2009","journal-title":"Board of Governors of the Federal Reserve System (US) Tech Rep"},{"key":"9","doi-asserted-by":"publisher","DOI":"10.1080\/14697680802595700"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1080\/135048602100056"}],"event":{"name":"2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","start":{"date-parts":[[2014,3,27]]},"location":"London, UK","end":{"date-parts":[[2014,3,28]]}},"container-title":["2014 IEEE Conference on Computational Intelligence for Financial Engineering &amp; Economics (CIFEr)"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx7\/6901616\/6924035\/06924047.pdf?arnumber=6924047","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,16]],"date-time":"2019-08-16T10:17:39Z","timestamp":1565950659000},"score":1,"resource":{"primary":{"URL":"http:\/\/ieeexplore.ieee.org\/document\/6924047\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,3]]},"references-count":34,"URL":"https:\/\/doi.org\/10.1109\/cifer.2014.6924047","relation":{},"subject":[],"published":{"date-parts":[[2014,3]]}}}